Microfibrillar composites (MFCs) of HDPE matrix with PA6 reinforcing fibrils formed in situ by melt drawing were modified by ethylene/glycidyl methacrylate copolymer (PEGMA) and addition of layered silicates using different mixing protocols. The goal was enhancement of adhesion between fibrils and matrix, their reinforcement by clay, and evaluation of the effect of clay on the MFC morphology, especially the fibril dimensions. Improved mechanical properties, including toughness, were found in the case of pre-blending Cloisite 15A (C15) with both polymeric components. Pre-blending of Cloisite C30B (C30) in PA6 is effective at low draw ratios only, whereas simultaneous addition of both clays leads to significant worsening of properties. In many cases, low stiffness increase indicates existence of clay-induced controversial effects which may eliminate reinforcement induced by fibrils and clay. The results indicate that these effects are significantly affected by the extent and course of clay migration between polymer phases during extrusion-mixing and melt drawing. Possible explanation of affecting the properties due to low-modulus interface supported by finite element analysis (FEA) is presented.