Nano-Sb2O3 has excellent synergistic flame-retardant effects. It can effectively improve the comprehensive physical and mechanical properties of composites, reduce the use of flame retardants, save resources, and protect the environment. In this work, nanocomposites specimens were prepared by the melt-blending method. The thermal stability, mechanical properties, and flame retardancy of a nano-Sb2O3–brominated epoxy resin (BEO)–poly(butylene terephthalate) (PBT) composite were analyzed, using TGA and differential scanning calorimetry (DSC), coupled with EDX analysis, tensile testing, cone calorimeter tests, as well as scanning electron microscopy (SEM) and flammability tests (limiting oxygen index (LOI), UL94). SEM observations showed that the nano-Sb2O3 particles were homogeneously distributed within the PBT matrix, and the thermal stability of PBT was improved. Moreover, the degree of crystallinity and the tensile strength were improved, as a result of the superior dispersion and interfacial interactions between nano-Sb2O3 and PBT. At the same time, the limiting oxygen index and flame-retardant grade were increased as the nano-Sb2O3 content increased. The results from the cone calorimeter test showed that the peak heat release rate (PHRR), total heat release rate (THR), peak carbon dioxide production (PCO2P), and peak carbon monoxide production (PCOP) of the nanocomposites were obviously reduced, compared to those of the neat PBT matrix. Meanwhile, the SEM–energy dispersive spectrometry (EDX) analysis of the residues indicated that a higher amount of C element was left, thus the charring layer of the nanocomposites was compact. This showed that nano-Sb2O3 could promote the degradation and charring of the PBT matrix, improving thermal stability and flame retardation.