Nanocomposites of LDPE/LLDPE/nanoclay have been prepared using a lab-scale co-rotating twin screw extruder. Using XRD, tensile testing, AFM, TGA, effects of some material properties and one processing parameter on mechanical and thermal properties of the prepared nanocomposites were evaluated. Tensile properties indicated that all the prepared nanocomposites exhibited a significant improvement in elastic modulus and toughness compared to pristine LDPE/LLDPE blends of the same composition. Thermal stability of nanocomposites in the air and nitrogen atmosphere was improved. XRD patterns and AFM micrographs showed semi-exfoliated and intercalated microstructures for the prepared nanocomposites with different orders of mixing.