Elastomers are usually compounded with fillers such as carbon black or silica in order to improve their mechanical properties. The idea of using clays as fillers in a polymer matrix appeared in the 1950s, but not until 1990 did the Toyota group find that clay layers could be intercalated or exfoliated by polyamide-6 macromolecules [1]. Such composites can be expected to provide a very high interaction area between the filler and the polymer and as a consequence possess improved properties as compared to traditional reinforcing fillers. Many nanocomposites based on polymer/clay blends have been investigated using different polymers compounded in the melt such as polyamide-6 [1], polyethylene [2], polypropylene [3], poly(ethylene oxide) [4] and polystyrene [5]. However, relatively little attention has been paid to conventional rubbery materials. Such nanocomposites have been generally prepared by latex compounding [6, 7], solution blending [8, 9] or by using an appropriate vulcanization system [10], but no evidence of exfoliated rubber/clay nanocomposites prepared by direct compounding of the clay with the elastomer has been reported up to now in the litterature, except in the special case of silicone networks [11, 12]. Although thermoplastics are considered as rubbery when compounded in the melt, true elastomers at moderate temperature differ from melted thermoplastics by their high viscosity. This explains the complications to achieve clay exfoliation in elastomer matrices. The aim of this study is to define the main parameters controlling clay intercalation and exfoliation in an elastomer matrix, in order to prepare composites structured at the nanometer scale. Furthermore, we chose to respect three conditions: (1) no solvent use in the blend, (2) maximum exfoliation to a single layer level, (3) accurate understanding of the composite structure.