The ethylene vinyl acetate (EVA), high-density polyethylene (HDPE), compatibilizer (maleic anhydride-grafted polyethylene (MA-g-PE)) and organophilic montmorillonite (OMMT) clays were added in different sequences in a corotating twin screw extruder followed by injection molding. Montmorillonite clay was modified by octadecylamine and aminopropyltriethoxysilane to make it organophilic. The thermal behavior was characterized by thermogravimetric analysis and differential scanning calorimetry (DSC). The influence of blending HDPE with EVA on the thermal properties of EVA/HDPE blends was investigated. The effect of MA-g-PE and nanoclay on the thermal properties of EVA/HDPE blend and modified EVA/HDPE blends, respectively, were also investigated. The blends show two distinct unchanged melting peaks corresponding to the individual components of the blend. The addition of nanoclay improves the thermal properties of nanocomposites. The results of DSC behavior of the nanocomposites indicate that melting temperature (T_m) and melting enthalpy (H_m) of the HDPE phase of the nanocomposites are lower than those of the neat EVA/HDPE blend. Although crystallization temperature (T_c) of the nanocomposites is higher than the neat EVA/HDPE blend, it is observed that the incorporation of 4 phr clay loading into nanocomposites improves the thermal stability.