PMMA/mesoporous silica nanocomposites were prepared via in-situ emulsion polymerization of methyl methacrylate and a large pore size MSU-F silica. PMMA/clay, PMMA/colloidal SiO₂ nanocomposites, and pure PMMA were also made by same method. The thermal stability and mechanical properties were characterized by thermogravimetric analysis, differential scanning calorimetry, and dynamic mechanical analysis, respectively. The morphology was observed with transmission electron microscope. The results indicate that the thermal stability of the PMMA/MSU-F and PMMA/clay nanocomposites is increased in comparison to pure PMMA. The former displays the best thermal stability, while the latter exhibits a narrowed decomposition profile. The glass transition temperature (Tg) is obviously increased for the PMMA/MSU-F and PMMA/clay nanocomposites. The storage modulus of the PMMA/MSU-F and PMMA/clay nanocomposites both increase, the latter shows higher value at higher temperature also. However, the PMMA/ colloidal SiO₂ nanocomposite only achieves essentially the same thermal stability, Tg and storage modulus as pure PMMA.