The incorporation of magnetic barium hexaferrite nanoparticles in a transparent polymer matrix of poly(methyl methacrylate) (PMMA) is reported for the first time. The barium hexaferrite nanoplatelets doped with Sc(3+), i.e., BaSc0.5Fe11.5O12 (BaHF), having diameters in the range 20 to 130 nm and thicknesses of approximately 5 nm, are synthesized hydrothermally and stabilized in 1-butanol with dodecylbenzenesulfonic acid. This method enables the preparation of monolithic nanocomposites by admixing the BaHF suspension into a liquid monomer, followed by in-situ, bulk free-radical polymerization. The PMMA retains its transparency for loadings of BaHF nanoparticles up to 0.27 wt.%, meaning that magnetically and optically anisotropic, monolithic nanocomposites can be synthesized when the polymerization is carried out in a magnetic field. The excellent dispersion of the magnetic nanoparticles, coupled with a reasonable control over the magnetic properties achieved in this investigation, is encouraging for the magneto-optical applications of these materials.