A detailed, chemically sensitive study of the morphology of nanocomposites prepared by melt blending of polypropylene (PP) reinforced with an organically modified nanoclay (montmorillonite 20A) and toughened with poly(styrene-b-ethylenebutylene-b-styrene) (SEBS) is reported. Polar functionalities were incorporated in two ways: (i) additional compatibilizers: polypropylene-graft-maleic anhydride (PP-g-MA) and PP surface modified by N-2-plasma treatment (PP*) and (ii) superficial cold N-2 plasma modification of the elastomer SEBS (SEBS*). In a previous study on the ternary composite PP/20A/SEBS [Martin et al. Macromolecules 2010, 43, 448] the montmorillonite 20A was found to be located inside the elastomer domains and not in direct contact with the PP phase. With the addition of polar functionalities, the nanoclay locates at the PP SEBS interface rather than interacting just with the SEBS elastomer. Depending on the nature, content, and distribution of the polar groups in the material, the 20A locates selectively in the phase it has more affinity with. The different interactions between the polymer components and the nanoclay have been examined with X-ray diffraction (XRD), scanning electron microscopy (SEM), transmission electron microscopy (TEM), and scanning transmission X-ray microscopy (STXM). The latter provides simultaneously images with similar to 30 nm spatial resolution and quantitative compositional information at the same spatial resolution. Together this provides direct experimental evidence of the polar interactions in the composites. The influence of the nanoclay on the domain distributions of the elastomer is also discussed.