Maya Blue pigment forms through heating-induced encapsulation and bonding of indigo in microporous clays, namely, palygorskite or sepiolite. Stabilizing host/guest interactions in a sepiolite-based Maya Blue were investigated by means of vibrational and NMR spectroscopies and proved to be H-bonds formed between indigo reactive groups and the clay structural OH2. Indigo sorption inhibits sepiolite structural folding induced by partial OH2 loss with temperature rise, but despite this, no direct Mg/indigo bonding was detected. Encapsulation is favored by breaking of intermolecular bonds, allowing dye diffusion inside the clay microtunnels. H-bond formation involves both CO/N–H indigo groups, its molecule undergoing distortion and partial oxidation to dehydroindigo. Both the strength and number of sepiolite/indigo interactions are less marked than those occurring in a palygorskite-based composite. In the wider sepiolite channels, H-bonds can form only on one side of the guest molecule, whereas both sides are involved in palygorskite. Halving in bond number undermines the stability of the resulting adduct.