In order to develop flame retardant and relatively green cable coating materials, polyethylene (PE) was melt blended with 5, 7.5, or 10 wt. % of a natural calcium montmorillonite (C–Ca) pre-dispersed in EBA (ethylene-butyl acrylate copolymer), EVA (ethylene-vinyl acetate copolymer), or mEVA (EVA modified with maleic anhydride). For comparison, an organophilised montmorillonite (CW9) was tested. The main study of composites containing EBA/C–Ca, EVA/C–Ca, and mEVA/CW9 pre-dispersions revealed that both clays were not fully exfoliated in the matrix, however, C–Ca (7.5 wt. %) markedly increased limited oxygen index (LOI) from 18% O2 (PE) up to 22.0% O2. An insignificantly higher LOI value (22.2% O2) was noted for a sample with 10 wt. % of CW9. The fillers did not affect hardness, but spectacularly increased Young’s modulus of the compression-moulded samples (tensile strength and elongation at break values were reduced). Thermal features of the matrix were not unpredictably changed by the clays. Generally, all the tests revealed that PE filled with the chemically untreated natural C–Ca reached similar or better mechanical and thermal features than materials containing the ammonium salt-modified montmorillonite.