The synthesis of polyethylene/clay (PE/clay) nanocomposites by means of in situ polymerization was achieved using the clay/BOM/chloroform/EtOH/TiCl4/TEA catalyst system where butyl octyl magnesium (BOM) and triethyl aluminum (TEA) were a modifier for the clay and cocatalyst, respectively. It was found that the catalyst had high activity in ethylene polymerization. The microstructure of the resulting PE/clay nanocomposites was characterized by X-ray diffraction, transmission electron microscopy, and scanning electron microscopy. The examinations evidenced the nanocomposite formation with exfoliated clay in the PE matrix. The thermal properties of the produced nanocomposites were studied by differential scanning calorimetry, oxidation induction time, and thermal gravimetric analysis. Furthermore, the mechanical properties of the nanocomposites were evaluated by the impact and tensile tests. The examinations indicated the improved thermal stability and mechanical properties. Meanwhile, a wide range of molecular weights were produced in the presence of hydrogen.