The article presents comparative characteristics of the pore structure and sorption properties of raw halloysite (R-HAL) and after calcination (C-HAL) at the temperature of 873 K. Structural parameters were determined by optical scanning and transmission electron microscopy methods as well as by mercury porosimetry (MIP, Hg) and low-pressure nitrogen adsorption (LPNA, N2, 77 K). The surface area parameter (LPNA) of halloysite mesopores before calcination was 54–61 m2/g. Calcining caused the pore surface to develop to 70–73 m2/g. The porosity (MIP) of halloysite after calcination increased from 29% to 46%, while the surface area within macropores increased from 43 m2/g to 54 m2/g. The total pore volume within mesopores and macropores increased almost twice after calcination. The course of CH4 and CO2 sorption on the halloysite was examined and sorption isotherms (0–1.5 MPa, 313 K) were determined by gravimetric method. The values of equilibrium sorption capacities increased at higher pressures. The sorption capacity of CH4 in R-HAL was 0.18 mmol/g, while in C-HAL 0.21 mmol/g. CO2 sorption capacities were 0.54 mmol/g and 0.63 mmol/g, respectively. Halloysite had a very high rate of sorption equilibrium. The values of the effective diffusion coefficient for methane on the tested halloysite were higher than De > 4.2 × 10−7 cm2/s while for carbon dioxide De > 3.1 × 10−7 cm2/s.