Thermoplastic vulcanizate (TPV) nanocomposites based on 60/40 (%wt) natural rubber (NR)/polypropylene (PP) blends were prepared by melt blending in an internal mixer. Sodium montmorillonite (Na-MMT) was first added in natural rubber latex to obtain natural rubber/clay masterbatch, which was subsequently dynamically crosslinked while mixing with molten PP. The effect of Na-MMT content were examined concerning elastomeric properties of NR/PP blends dynamically vulcanized using phenolic resin as a curing agent. Morphology characterization observed by X-ray diffraction (XRD), transmission electron microscopy (TEM) and 3D microfocus X-ray computerized tomography showed that the dynamic vulcanization with nanoclay addition changed the blend morphology from a co-continuous-like structure to droplet-like phase one, and the clay remained within NR phase in intercalated and aggregated forms. Furthermore, the presence of clay induced the decrease in crosslinking of NR, but promoted the mixing between NR and PP during dynamic vulcanization. This suggested that nanoclay worked as a kind of morphology modifier during dynamic vulcanization. The addition of clay marginally enhanced the 100% modulus and tensile strength, but led to the decrease of the elongation at break. The optimal level of tensile strength improvement was obtained with loading of 5 phr clay. The permanent set of the NR/PP/Clay TPV nanocomposites was well maintained at the acceptable level as elastomer. The resistances to oil and heat were improved with incorporation of clay, proportional to clay loading. The experimental results indicated that the nanoclay had a positive effect on improving the 60/40 NR/PP blend morphology, which provided a little benefit to strength of the TPVs. However, the addition of nanoclay offered an improvement in oil and thermal resistances due to a combined effect of the clay dispersion and improved morphology of NR and PP blends.