Summary: Different polymer blends reinforced with nano-clay were prepared by melt compounding. The influence of four different sequences on the microstructural and thermomechanical properties has been analyzed. Polyamide 6–ethylene-propylene-diene monomer (PA6/EPDM) blends were the most thermally stable of all showing that nano-clay dispersion in the continuous phase (NB1) produced the best balanced properties. On the other hand, in polycarbonate–(acrylonitrile-butadiene-styrene) (PC/ABS) blends the nano-clay addition on the dispersed phase (NB2) led to an increase in stiffness and HDT with a low value of toughness. Finally, the best properties (impact strength and HDT) in poly (lactic acid)–low density polyethylene (PLA/LDPE) blends were obtained when all the materials were blended in one step (NB3).