A low-density polythene (LDPE)/millable polyurethane (PU)/organoclay ternary nanocomposite was successfully prepared. The nanocomposites were characterised by X-ray diffraction (XRD) and transmission electron microscopy (TEM). The nanocomposites, as evidenced by XRD, are intercalated. The heat shrinkable behaviour of the nanocomposites, as well as their pristine counterparts, was studied. It was observed that heat shrinkability decreases with increased filler content. The tensile strength and the tensile modulus of the nanocomposites are higher than their pristine counterparts.