Novel millable polyurethane (PU)/organoclay nanocomposites have been successfully prepared by conventional transformation techniques. One natural (C6A) and two organically modified (C15A and C30B) montmorillonites have been used as clays for preparing PU nanocomposites. The optimum dispersion of nanofiller at a nanometer scale in PU matrix was confirmed by X-ray diffraction patterns and transmission electron microscopy. A substantial improvement of the PU properties by addition of only a small amount of organoclay was observed. It is worthy to note that the organoclays show a different interfacial interaction with the PU matrix, which was reflected in different macroscopic properties. Thus, C30B organoclay seems to react with PU chains to form covalent bonds, while C15A only interacts physically with PU chains. Mechanical and barrier properties are analyzed.