The influence of selective localization of the nanoclay Cloisite 30B on the morphological, thermal and thermo-mechanical properties of biodegradable poly(lactic acid)/poly(hydroxybutyrate) blends was evaluated in this work. For this, different compounds were obtained by adding the filler in a single phase or mixed with the two matrices simultaneously by melting processing. The simultaneous processing leads to a better dispersion of nanoparticles on the blend and generates a more homogeneous polymer interface, but the properties do not increase in relation to those that were processed in separate steps. For the blends obtained in separated steps, the polymeric domains and, consequently, the superficial tension between phases are better controlled by a nanolayer. Thus, the results obtained in this work indicate that better control of the polymeric interfaces can generate a more significant effect on the thermal and thermo-mechanical properties of nanostructured blends than just a good dispersion of the fillers.