The process of incorporation of pyridine in the nanostructured tunnels of sepiolite was studied in detail, using various complementary characterization techniques, microporosimetry, thermal gravimetric analysis, FTIR, and multinuclear solid-state NMR. It is demonstrated that a remarkable nanohybrid material, SEP−PYR, is formed through the direct coordination of pyridine to the edge Mg(II) sites of the tunnels. This material is formed at temperatures above 140 °C when the sepiolite tunnels are dehydrated and the pyridine molecules are trapped in the tunnels. In a first step toward the formation of SEP−PYR, the pyridine molecules were incorporated at room temperature in the tunnels, by exposing sepiolite to pyridine vapors. The incorporated pyridine molecules are H-bound to the structural water molecules coordinated to the edge Mg(II) cations. In a second step, upon heating to 140 °C, approximately 50% of the pyridine is lost, together with most of the structural water coordinated to Mg(II). This event is accompanied by direct coordination of the remaining pyridine molecules in the tunnels to the edge Mg(II) ions of the octahedral sheets, resulting in a material with a structure similar to the parent sepiolite, but with pyridine molecules coordinated to the Mg(II) edge cations. This material is stable up to 450 °C. At this temperature, the coordinated pyridine molecules escape from the tunnels, resulting in a collapsed sepiolite structure.