Clays are a class of porous materials; their surfaces are naturally covered by moisture. Weak thermal treatment may be considered practical to remove the water molecules, changing the surface properties and making the micro- and/or mesoporosities accessible to interact with other molecules. Herein, a modulated thermogravimetric analysis (MTGA) study of the moisture behavior on the structures of five, both fibrous and laminar, clay minerals is reported. The effect of the thermal treatment at 150 °C, which provokes the release of weakly adsorbed water molecules, was also investigated. The activation energies for the removal of the adsorbed water (Ea) were calculated, and they were found to be higher, namely, from 160 to 190 kJ mol−1, for fibrous clay minerals compared to lamellar structures, ranging in this latter case from 80 to 100 kJ mol−1. The thermal treatment enhances the rehydration in Na-montmorillonite, stevensite, and sepiolite structures with a decrease in the energy required to remove it, while Ea increases significantly in palygorskite (from 164 to 273 kJ mol−1). As a proof of concept, the MTGA results are statistically correlated, together with a full characterization of the physico-chemical properties of the five clay minerals, with the adsorption of two molecules, i.e., aflatoxin B1 (AFB1) and β-carotene. Herein, the amount of adsorbed molecules ranges from 12 to 97% for the former and from 22 to 35% for the latter, depending on the particular clay. The Ea was correlated with AFB1 adsorption with a Spearman score of −0.9. When the adsorbed water is forcibly removed, e.g., under vacuum conditions and high temperatures, the structure becomes the most important, decreasing the Spearman score between β-carotene and Ea to −0.6.