There are various methods for preparation of polymeric nanocomposite materials. One of these methods is melt INTERCALATION procedure. In this study, segmented linear thermoplastic polyurethane elastomers based on polytetramethylene glycol, toluene diisocyanate and 1,4-butanediol were synthesized by prepolymer method. The molar ratios of reactants were 1:3:2 for polyol, isocyanate and chain extender, respectively. Then, melt INTERCALATION of thermoplastic polyurethane with nanoclay was carried out in a Haake internal mixer at 135ºC temperature, 60 rpm rotational speed for 6 min. Three different weight percents of a nanoclay as filler were used in the synthesized polyurethane model compound. Using this method, an exfoliated nanocomposite structures formed which was confirmed by wide angle X-ray scattering. Tensile strength was increased as nanoclay content was increased from 0.4 to 1.2. It is believed that, this behaviour can be related to delamination of nanoclay layers and strong surface adhesion of polymer and modified nanoclay. Also, thermogravimetric analysis and T95 studies have shown that the thermal stability of nanocomposite has been shifted to higher temperatures as clay content is being increased.