Poly(methyl methacrylate)/clay nanocomposites have been prepared using a pseudo-dispersion polymerization of MMA monomer in the presence of fluorinated surfactant-modified clay (10F-clay) in supercritical carbon dioxide. The nanocomposites are characterized by scanning electron microscopy, transmission electron microscopy, X-ray diffraction, thermal gravimetric analysis, and dynamic mechanical analysis and show partially exfoliated/interealated structures as well as enhanced thermal stabilities, glass transition temperatures, and mechanical properties. It is also found that 10F-clay served not only as an inorganic filler but also as an effective stabilizer for PMMA polymerization in CO2. The nature of the stabilizing mechanisms is inferred from FTIR studies. This CO2-mediated route allows for a clean synthesis of nanocomposites with high yields without the need for extra surfactant to stabilize the system.