The effect of nanoclay on the thermal stability of polystyrene (PS)-poly(methyl methacrylate) (PMMA) core-shell nanocomposites morphology prepared by in situ suspension polymerization technique was investigated. Scanning electron microscopy (SEM) and transmission electron microscopy (TEM) revealed the formation of a PS-PMMA core-shell structure, both in the absence and presence of the clay. Wide angle X-ray diffraction (WAXD) indicated the formation of a highly intercalated expanded clay morphology in the core-shell composite particles irrespective of the location of the clay in the nanocomposites. Thermo gravimetric analysis (TGA) indicated an improvement in the thermal stability of the core-shell nanocomposites compared to that of the neat PS-PMMA core-shell one. Differential scanning calorimetry (DSC) showed that the core-shell nanocomposite particles containing the clay had a higher glass transition ($T_g$) temperature than the neat PS-PMMA core-shell composites particles. On the other hand, the improvement in the thermal stability of the PS-PMMA core-shell composites was found to depend strongly on the location and loading of the clay in the core-shell nanocomposites. FTIR indicated a probable interaction between the carbonyl (>C=O) group of PMMA and hydroxyl (-OH) group of the clay.