Polymer/layered silicate composites have gained huge attention in terms of research and industrial applications. Traditional nanocomposites contain particles regularly dispersed in a polymer matrix. In this work, a strategy for the formation of a composite thin film on the surface of a polycaprolactone (PCL) matrix was developed. In addition to the polymer, the composite layer was composed of the particles of saponite (Sap) modified with alkylammonium cations and functionalized with methylene blue. The connection between the phases of modified Sap and polymer was achieved by fusing the chains of molten polymer into the Sap film. The thickness of the film of several μm was confirmed using electron microscopy and X-ray tomography. Surfaces of precursors and composite materials were analyzed in terms of structure, composition, and surface properties. The penetration of polymer chains into the silicate, thus joining the phases, was confirmed by chemometric analysis of spectral data and changes in some properties upon PCL melting. Ultimately, this study was devoted to the spectral properties and photoactivity of methylene blue present in the ternary composite films. The results provide directions for future research aimed at the development of composite materials with photosensitizing, photodisinfection, and antimicrobial surfaces.