Nematic liquid crystals were obtained in sterically stabilized suspensions of rodlike particles of sepiolite clay, with an average length up to 900 nm and aspect ratio up to 40. In agreement with computer simulations for hard spherocylinders, the isotropic-nematic transition shifted to lower volume fractions with increasing aspect ratio. However, the coexistence gap was broadened noticeably due to particle polydispersity. The sepiolite crystal structure includes channels filled with zeolitic water, which can be replaced by indigo dye molecules. The indigo molecules are constrained inside the zeolitic channels to be aligned along the long axes of the rods. As a result, the colloidal nematic phase showed a marked dichroism, with an order parameter up to 0.5 for magnetically aligned samples, similar to typical values for dye-doped thermotropic liquid crystals.