In this study, an exfoliated montmorillonite was prepared through click chemistry from a singly azido-functionalized polyhedral oligomeric silsesquioxane derivative and a montmorillonite intercalated with propargyldimethylstearylammonium bromide. This exfoliated montmorillonite was then introduced into a benzoxazine matrix-prepared from paraformaldehyde, aniline, and phenol-to form polymer/exfoliated clay nanocomposites. Thermogravimetric analysis revealed that the pyrolysis kinetics had a close relationship with the structure of montmorillonite, the assembly process, the anchoring effect, the compatibility of the polymer and intercalator, and the char yield. The polymer/exfoliated clay nanocomposites had a same mechanism function, and the kinetic compensation effect equations revealed the pyrolysis essences.