A new strategy for the preparation of well-dispersed clays in a polymer matrix by a spray-drying method is presented. Scanning electron microscopy and transmission electron microscopy measurements show that the spray-drying process produces clay/polymer microspheres in which the clay is trapped in a well-dispersed state throughout the polymer matrix. The microspheres have been successfully extruded into clay/poly(methyl methacrylate) nanocomposite bulk structures without any perturbation of the well-dispersed clay nanostructure in the original microspheres. Transmission electron microscopy and small-angle X-ray scattering show that the clay particles in the extruded materials range from single platelets to simple tactoids composed of a few stacked clay platelets, indicating an excellent degree of dispersion. The results show that sprayed microspheres are very good precursors for further processing such as extrusion or melt blending with other polymers for bulk nanocomposite fabrication.