Clays are inexpensive minerals having outstanding features for engineering applications. Nanosize clays with different shapes and sizes have been widely used in academia and polymer industry alike, so that different angles about the effects of incorporation of nanoclays into polymers have been discussed. Halloysite nanotubes (HNTs) are a class of this family of mineral with outstanding physical properties thanks to the presence of reactive sites in the inner and outer surfaces of nanotubes. Evaluation of thermal behavior and flame retardancy of HNTs, alone or when added as a nanoparticle to a polymer, has been the subject of several reports.Nevertheless, hydrophilic nature of HNTs and their incompatibility with nonpolar polymer matrices was highlighted as an obstacle against proper dispersion of platy and tubular nano-size clays, two main geometrical shapes of nanoclays. This chapter summarizes research done on thermal behavior of clays, particularly HNTs, their chemical affinity as well as thermal and flame properties of their corresponding nanocomposites. The impact of pristine and modified halloysite clays, alone or in combination with other types of additives, on thermal stability and flame retardancy of polymer systems were overviewed in brief.