The exact recipe to prepare the ancient Maya Blue (MB), an incredibly resistant and brilliant pigment prepared from indigo (dye) and Palygorskite (clay), is lost to the ages. To unravel the key features of the MB formation process, several inorganic‐dye couples were heated to 200 °C and cooled to RT, to investigate their reactivity and the diffusion and degree of sequestration of the dye into the inorganic host. In situ XRPD/PDF and fiber optic reflectance spectroscopy (FORS) data, along with TGA, provided a comprehensive overview on MB formation mechanism. XRPD/PDF gave information on long/short range behaviors of water desorption/adsorption and indigo sequestration, while TGA and in situ FORS gave information on mass and optical changes within temperature. Ex situ dye removal was used to understand the sample stability after the thermal treatment. A statistical approach based on principal component analysis was exploited to efficiently and jointly analyze the ≈3000 collected patterns. MB formation starts below 110 °C with disordered distribution of indigo within the channels, reaching maximum reaction speed and higher ordering at 150 °C. Above 175 °C, color changes and a stronger sequestration of indigo into framework channels are observed, whereas the affinity for water is dramatically reduced. The origin of different colors, hues, and stability in historical MB samples can then be explained in terms of different thermal histories of the starting mechanical indigo/palygorskite mixtures.