Cellulose nanofibrils (CNFs) are nanomaterials with promising properties to be used in food packaging and printed electronics, thus being logical substitutes to petroleum-based polymers, specifically plastics. CNFs can be combined with other materials, such as clay minerals, to form composites, which are environmentally friendly materials, with acceptable costs and without compromising the final properties of the composite material. To produce composite films, two strategies can be used: solvent casting and filtration followed by hot pressing. The first approach is the simplest way to produce films, but the obtained films may present some limitations. In the present work, CNFs produced using enzymatic or TEMPO (2,2,6,6-tetramethylpiperidine-1-oxyl radical) oxidation pretreatments, followed by high-pressure homogenization, or only by mechanical treatment (homogenization), were used to produce films by both the available procedures. The films obtained by filtration + hot pressing presented higher tensile strength and Young’s modulus compared with those obtained by solvent casting. In general, a decrease in the values of these mechanical properties of the films and a decrease in elongation at break, with the addition of sepiolite, were also observed. However, for the TEMPO CNF-based films, an improvement in tensile strength could be observed for 10% of the sepiolite content. Furthermore, the time necessary to produce films was largely reduced by employing the filtration procedure. Finally, the water vapour barrier properties of the films obtained by filtration are comparable to the literature values of net CNF films. Thus, this technique demonstrates to be the most suitable to produce CNF-based composite films in a fast way and with improved mechanical properties and suitable gas barrier properties.