In this study, a nanocomposite of poly[styrene-(ethylene-co-butylene)-styrene] triblock copolymer (SEBS) and poly(epsilon-caprolactone) (PCL) blend modified with an alkyl phosphonium salt-intercalated organic montmorillonite (OMMT) was prepared by melt mixing. The effect of OMMT and the compatibilizer SEBS-MA on structure, morphology, rheological behavior, and crystallization properties of the SEBS/PCL nanocomposites was studied. Better dispersion of PCL domains in SEBS matrix was achieved after adding 5 wt% SEBS-MA, with the crystallinity of the PCL increased considerably. Compared with pristine montmorillonite, the SEBS/PCL composite with OMMT showed a more uniform dispersion. Meanwhile, the OMMT platelets were preferentially dispersed at outer edge of the PCL domains with intercalated structure. Good interfacial interaction between the OMMT and the SEBS/PCL matrix was suggested, with occurrence of intermolecular hydrogen bonding between the PCL and the OMMT. The prepared SEBS/PCL/OMMT nanocomposite displayed significantly improved mechanical, anti-water-absorption, and anti-UV-irradiation properties, which can be attributed to its unique morphology. These superior properties of the SEBS/PCL/OMMT nanocomposite are important for both environmental and biomedical applications.