In the present work, a novel methodology was developed for the fabrication of clay-based nano pigments with enhanced thermal stability and used further as a colorant to prepare polymeric membranes. Initially, the batch extraction studies were performed to analyze the maximum adsorption of Safranin O (SO) dye onto pristine montmorillonite (Mt) and organo montmorillonite (OMt) by varying different parameters like pH, contact time, and concentration. It was confirmed from batch extraction studies that the adsorption efficacy of pristine Mt for SO was found to be more than OMt due to their negatively charged surface. Clay-based nano pigments were fabricated by considering the optimized condition where the maximum uptake of SO was observed and further characterized by XRD, FTIR, TGA, and SEM techniques. XRD studies confirmed the intercalation of SO dye while FTIR spectra revealed surface interaction of the dye with Mt/OMt. TGA studies showed that the clay-based nano pigments had more thermal stability than pure SO. Nano pigments were used as colorants to prepare thin, transparent, and homogeneously dispersed polymeric membranes through the solvent casting method. XRD studies of the polymeric membrane confirmed that the intercalation of poly methylmethacrylate (PMMA) into the interlayer of clay increases interlayer spacing, which was further confirmed by the TEM analysis. The mechanical properties of the PMMA polymeric membrane were also enhanced after the dispersion of clay-based nano pigments.