By using a two-step polymerization process, it was possible to encapsulate clay platelets within polymer particles dispersed in water. First, seed polymer particles with chemically bonded clay were obtained by batch miniemulsion polymerization. Then, the clay was buried within the particles by the addition of neat monomer in a second step. The final stable dispersions can have a solids content of up to 50 wt %. Transmission electron microscopy images clearly show the presence of clay platelets inside the polymer colloids, although they are not totally exfoliated. The obtained nanocomposites showed an increase in both the storage modulus in the rubbery state and the water resistance as the clay content increases. The approach presented here might be useful for encapsulating other high-aspect ratio nanofillers.