A β-cyclodextrin (β-CD)/bentonite clay (BNC) nanocomposite hydrogel was prepared through combining in situ intercalative polymerization and melt intercalation methods. A suspension solution of β-CD with different amounts of BNC was prepared and then copolymerized with citric acid (CT) to prepare CDP-CT/BNC nanocomposite hydrogels. Their structures were characterized by ATR-FTIR, XRD, SEM, EDAX, TEM, TGA, DTG, DSC and DDSC spectroscopy. The results are indicative that BNC was grafted onto CDP-CT macromolecules, and this led to good linkers in the nanocomposite hydrogels and consequently a significant improvement of their thermal properties. The swelling ratio and absorption properties toward methylene blue (MB) of the nanocomposite hydrogels were studied.