Poly(cyclohexene oxide) (PCHO)/clay nanocomposites were prepared by means of in situ photoinitiated cationic polymerization with initiator moieties immobilized within the silicate galleries of the clay particles. Diphenyliodonium molecules were intercalated via cation exchange process between Cloisite Ca and diphenyliodonium. The polymerization of CHO through the interlayer galleries of the clay can provide a homogenous distribution of the clay layers in the polymer matrix in nanosize and results in the formation of PCHO/clay nanocomposites. The rates of clay loadings were changed to 1%, 3%, and 5% so as to investigate the effect of clay and initiator amount on polymer. X-ray diffraction (XRD) spectroscopy, thermogravimetric analysis (TGA), and transmission electron microscopy (TEM) methods were used for the characterization of modified clay and nanocomposite materials. Thermal stability of PCHO/MMT nanocomposites was also studied by both differential scanning calorimetry (DSC) and thermogravimetric analysis (TGA).