A new method has been developed to prepare exfoliated poly(methyl methacrylate)/clay nanocomposites by in situ polymerization of methyl methacrylate (MMA) in the presence of triethyl aluminum (TEA)-modified clay. The dispersed behavior of the clay in the PMMA matrix is identified by using X-ray diffraction (XRD), transmission electron microscopy (TEM), and UV/vis transmission spectroscopy. The PMMA/clay nanocomposites are found to retain over 80% transparency, important for optical applications. Compared to neat PMMA, all these nanocomposites show enhancement of glass transition temperature (T-g) and decomposition temperature. The storage modulus (E') and tensile properties of the nanocomposites are also significantly enhanced by incorporating clay into the PMMA matrix and increased as the amount of clay increased. The tensile strength of nanocomposites is up to 70 MPa for 7.26 wt% clay content, and the tensile modulus shows a 20% higher value than that of neat PMMA.