This review paper is devoted to the preparation of clay-based thermoplastic nanocomposites by melt blending in a twin-screw extruder. The influence of the main processing parameters (screw speed, feed rate, barrel temperature, screw profile) on the state of the clay dispersion at the micro- and nanoscale is characterized. The change of dispersion state along the screws and the corresponding mechanisms are presented. The interest of process modelling to predict the state of dispersion is evaluated and, finally, the main modifications of the twin-screw extrusion process to improve the clay dispersion are reviewed.