This study examined the effect of nanoclays on the shape memory behavior of polyurethane (PU) in fibrous form. A cation was introduced into the PU molecules to disperse the organo-nanoclay (MMT) into poly(ε-caprolactone) (PCL)-based PU (PCL-PU). The MMT/PCL-PU nanocomposites were then spun into fibers through melt-processing. The shape memory performance of the spun fibers was examined using a variety of thermomechanical tests including a new method to determine the transition temperature of shape memory polymers. The MMTs showed an improved the fixity strain rate of the MMT/PCL-PU fibers but a slight decrease in their recovery strain rate. This was explained by the limited movement of PU molecules due to the presence of nanoclays. The shape memory performance of the MMT/PCL-PU fibers was not enhanced significantly by the nanoclays. However, their recovery power was improved significantly up to a strain of approximately 50%.