Chlorinated polyethylene (CPE) nanocomposites prepared with natural and organically treated montmorillonite (MMT) clays by solution intercalation method were investigated. X-ray diffraction and transmission electron microscopy techniques showed separation of organically modified clay MMT layers and indicated formation of exfoliated nanocomposites. Fourier transform infrared spectroscopy results showed interaction between the CPE matrix and the clay intercalants of Cloisite(A (R)) 30B and Cloisite(A (R)) 15A (natural MMT modified with quaternary ammonium salts). Organically treated MMT clays were found to be better dispersed in CPE in comparison to natural MMT clay. Mechanical testing showed enhanced tensile strength, Young's modulus, and storage modulus of chlorinated-polymers/organically treated MMT clay nanocomposites. Significant improvements in the above properties were obtained with Cloisite(A (R)) 15A nanoclay. The temperature, at which maximum degradation occurred, was higher for the nanocomposite having 5 wt% Cloisite 15A than that of neat CPE. Differential scanning calorimetric results revealed that the same composition also absorbed more heat during the heating, indicating better thermal stability. CPE rubber nanocomposite could be a promising heat resistant polymeric material.