We investigate aggregation properties of a liquid crystalline colloid formed by dispersing small PMMA particles in thermotropic nematic liquid crystal 5CB. Upon cooling a low-concentration homogeneous; mixture below the clearing point of the nematic phase, polymeric particles aggregate into cellular structures, causing enormous mechanical strengthening. We focus on the critical behavior of this system near the isotropic-nematic transition of the liquid crystalline matrix. The initial increase of the storage modulus with decrease of the temperature, signifying the onset of the rigid cellular structure formation, is mapped onto the phase behavior of the colloid. We show that, upon decreasing the temperature, the liquid crystal colloid undergoes two sequential first-order phase transformations. The transition kinetics and the effect of particle size on the resulting mechanical properties of the aggregated colloid are reported and discussed as well.