Caffeine is a chemical compound found in various products such as coffee, tea, and energy drinks; therefore, it is common in wastewater and surface water. The present study investigated caffeine adsorption on a thermally modified bentonite-type clay. The effects of the heat treatment of the adsorbent over the temperature range of 60–500 °C, as well as the initial pH of the solution, stirring speed, and contact time, on the removal of caffeine were analyzed. The adsorbent was characterized by XRF, XRD, FT–IR, thermal analysis (TGA–DSC), and N2 physisorption at 77 K. The response surface methodology (RSM) based on a central composite design (CCD) was used to evaluate and optimize the adsorption of caffeine in aqueous solution. The maximum adsorption capacity of caffeine obtained with the Langmuir model was 80.3 ± 2.1 mg/g (0.41 ± 0.01 mmol/g) at 25 °C under equilibrium conditions (initial pH = 8.0, stirring speed = 400 rpm, contact time = 120 min). A kinetic study showed that the pseudo-second-order and Elovich models adequately describe the adsorption process. Bentonite thermally modified at 400 °C can be considered a low-cost adsorbent with potential application for removing caffeine in aqueous media.