Materials for biomedical applications is a frontier area of research and development in Materials Engineering. The recent development of polymer nanocomposites, aiming to optimize characteristics such as the mechanical performance of implants, acting as cell growth scaffolds or even obtaining intelligent devices that react in a controlled manner to internal or external stimuli to the human body, must be highlighted. In this study, nanocomposites based on a thermoplastic polyurethane (TPU) matrix and hollow halloysite nanotubes (HNT) were produced by melt mixing in an internal mixer (Haake Rheomix 600p, 100 rpm, 5 min of mixture at 180°C) and their thermal, rheological and mechanical properties were evaluated. Both the matrix and the nanoparticle are biocompatible and bio-stable materials, which makes them excellent candidates for biomedical use. The dispersion and distribution of nanoparticles in highly elastic matrices in the molten state is a difficult task and in order to obtain an efficient dispersion of the nanoparticle in the polymer, different mixing protocols were used: direct mixing (1 step process) and the masterbatch/dilution approach (2 steps process), producing nanocomposites with 5 wt % of HNT. Neither the HNT addition nor the mixing protocol presented any influence in nanocomposites’ thermal behavior (evaluated by DSC and TGA analysis). Rheological measurements indicated a higher elastic behavior for the nanocomposite obtained by the 2 steps processing, which can be related to a better HNT dispersion. However, the nanocomposite produced by the 1 step process presented the highest elastic modulus, elongation, and stress at break in tensile mechanical tests.