Montmorillonite is a layered clay mineral whose modification by pillaring, i.e., insertion of oxide nanoclusters between the layers, yields porous materials of great potential in sorption and catalysis. In the present study, an unrefined industrial bentonite from Kopernica (Slovakia), containing ca. 70% of montmorillonite, was used for the preparation of Ti-, Zr-, and mixed [Ti,Zr]-pillared clay sorbents. The pillared samples were characterized with X-ray diffraction (XRD), field emission scanning electron microscopy (FESEM), and N2 adsorption at -196 °C and tested for the capacity of CO2 sorption at 0 °C and 1 bar pressure. The experiments revealed that pillared samples sorbed at least four times more CO2 than the parent bentonite. Of the materials tested, the sample pillared with mixed [Ti,Zr] oxide props showed the best performance, which was attributed to its superior microporosity. The results of CO2 adsorption demonstrated that the cost-effective use of crude industrial bentonite as the sorbent precursor is a viable synthesis option. In another experiment, all pillared montmorillonites were subjected to 24 h exposure at room temperature to a flow of dry CO2 and then tested using simultaneous thermal analysis (STA) and the mass spectrometry (MS) analysis of the evolving gases (STA/QMS). It was found that interaction with dry CO2 reduces the amount of bound carbon dioxide and affects the processes of dehydration, dehydroxylation, and the mode of CO2 binding in the pillared structure.