Nanocomposites based on high density polyethylene (HDPE)/linear low density polyethylene (LLDPE) blend were prepared by melt compounding in a torque rheometer using an organoclay (montmorillonite) as nano-filler and maleic anhydride-grafted linear low density polyethylene (LLDPE-g-MA) as compatibilizer. The effects of five blending protocols on microstructure, crystallinity and rheological properties of the prepared samples were examined. The steady state rheological properties showed that the addition of nanoclay to the HDPE/LLDPE blend increased its shear viscosity at low shear rates changing the behavior of the HDPE/LLDPE matrix to a more pronounced shear thinning behavior. The blending sequence (LLDPE/LLDPE-g-MA/20A)/HDPE (where LLDPE and LLDPE-g-MA were first mixed with organoclay and then this system was later blended with HDPE) showed a lower slope of the log eta versus log gamma) curve and these results can be an indicative that the interactions between the matrix and the organoclay are stronger. The organoclay interlayer spacing and the crystallinity of the polymer domains were also influenced by the blending sequence. The crystallinity was calculated through the mathematical deconvolution of the peaks observed in the WAXD profiles. Overall, the crystallization of HDPE in the blends was hardly influenced by the presence of LLDPE. The blending sequence (LLDPE/LLDPE-g-MA/20A)/HDPE showed lower cristallinity when compared to others blending sequences. On the other hand, it was observed an increase in the organoclay interlayer spacing of this nanocomposite because the intercalation and/or exfoliation process occurs preferentially in the amorphous phase.