Poly(methyl methacrylate) (PMMA)–clay nanocomposites were prepared by a heterocoagulation method. A cationic PMMA emulsion was prepared by emulsion polymerization using a cationic initiator in the presence of free surfactant, cetyl trimethylammonium bromide (CTABr), followed by mixing with an aqueous clay slurry. Clays used in present research included montmorillonite (MMT), synthetic hectorites and fluorohectorites (with two different sizes). WAXD results and TEM images indicate that the morphologies of these nanocomposites depend on clay colloid stability as well as clay loadings. WAXD and TEM results also indicate the good morphology preservation of the nanocomposites during solution and melt processing. Thermal stability of these nanocomposites was studied by TG–DTG analyses; the mechanism of thermal stability improvement is discussed based on experimental results.