The influence of the charge compensating cation nature (Na+, Mg2+) on the water adsorption properties of LTA-type zeolites used as filler in composite materials (zeolite/polymers) was investigated. Large scale cation exchanges were performed on zeolite powder at 80 °C for 2 h using 1 M magnesium chloride (MgCl2) aqueous solutions. XRF, ICP, and EDX analyses indicate a successful cationic exchange process without the modification of the zeolite structure as shown by XRD and solid-state NMR analyses. Composite materials (granulates and molded parts) were manufactured using to extrusion and injection processes. In the case of MgA zeolite, nitrogen adsorption–desorption experiments allowed us to measure a microporous volume, unlike NaA zeolite, which is non-porous to nitrogen probe molecule. SEM and EDX analyses highlighted the homogeneous distribution of zeolite crystals into the polymer matrix. Water adsorption capacities confirmed that the trends observed in the zeolite powder samples are preserved after dragging zeolites into composite formulations. Granulates and molded parts composite samples containing the magnesium exchanged zeolite showed an increase of their water adsorption capacity up to +27% in comparison to composite samples containing the non-exchanged zeolite. The MgA composite is more promising for water decontamination applications due to its higher water adsorption properties than the NaA composite.