Carbon nanofibers of ca. 1 μm by 20 nm dimensions have been successfully prepared by an improved route, consisting of the graphitization of polyacrylonitrile (PAN) previously formed inside the nanosized pores of sepiolite. This natural microfibrous silicate contains structural tunnels extending along the whole fiber, which are able to include acrylonitrile (AN). This is polymerized to give polyacrylonitrile (PAN), which is further thermally treated to form carbon nanofibers inside the pores. We have clearly shown the mechanisms and the role of the structural tunnels of sepiolite in the adsorption, polymerization, and graphitization of AN by applying spectroscopic techniques as FTIR spectroscopy, 13C NMR spectroscopy, in-situ EIS (electrochemical impedance spectroscopy), and other structural, textural, and analytical tools (powder X-ray diffraction (PXRD), scanning transmission electron microscopy–energy-dispersive X-ray analysis (STEM–EDX), differential thermal analysis (DTA), thermogravimetric analysis (TG), N2 isotherms, etc.). The resulting solids constitute a new class of conductive carbon–clay nanocomposites, useful for applications in diverse electrochemical devices such as lithium batteries, sensors, or electrocatalysts.