Composites of montmorillonite K10 (MMT K10) and ionic liquid (IL) containing a 1-butyl-3-methyl-imidazolium cation ([BMIm]+) and various anions, such as bis (trifluoromethylsulfonyl) imide ([NTf2]−), trifluoromethanesulfonate ([OTf]−), and dicyanamide ([DCA]−) have been obtained in this work. A number of methods, such as dynamic light scattering (DLS), scanning electron microscopy (SEM), X-ray diffraction (XRD), thermal gravimetry (TG), differential scanning calorimetry (DSC), Fourier-transform infrared (FTIR) spectroscopy, and nitrogen adsorption–desorption have been used to characterize clay, and to study the structure and thermal behaviour of the composites. It has been found that the MMT K10 powder has a narrow particle size distribution with a peak at 246 nm and a mesoporous structure (SBET=195 m2/g). According to the FTIR spectra, MMT K10/IL interaction depends on the IL type. It has been identified that confined ionic liquid interacts with both clay and adsorbed water in accordance with the hydrophilicity and size of the anion, in the following order: [DCA]− > [OTf]− > [NTf2]−. Characteristic temperatures of glass transition, crystallization, and melting have been determined for the ionic liquids under study and their MMT K10 composites. It has been revealed that when IL is adsorbed on the surface of clay, the phase transitions in IL change. The greatest changes are observed in the case of BMImNTf2. By applying the method of thermogravimetric analysis, it is shown that composite formation is accompanied by a decrease in the IL thermal stability. Apparently, the highly developed surface of montmorillonite K10, obtained by acid treatment, plays a major role in the decrease in the IL’s thermal stability. The influence of the IL anion on the thermal and spectral characteristics of an MMT K10/IL composite was studied for the first time.