The work carried out by D. R. Paul and his group showed the importance of the polymer matrix being able to interact with the nano-clay surface in order to obtain highly dispersed systems. The use of supercritical carbon dioxide (scCO2) has proven to be beneficial for surface modified montmorillonite (MMT) nano-clay dispersion up to 6.6 wt% in a polypropylene (PP) matrix and lead to improved composite mechanical properties in our earlier research. Our further modifications of the processing procedure including a sequential mixing technique successfully extended the technique to PP composites with as much as 10 wt% of clays and continuously increasing mechanical properties. In order to obtain additional enhancements of the composite properties at this clay level, polypropylene grafted with maleic anhydride (PP-g-MA) is included in this work. The results from the studies of the mechanical properties, rheological properties, and transmission electron microscopy (TEM) show that PP-g-MA is greatly beneficial in generating an exfoliated nano-clay morphology. Greater enhancements in the mechanical properties and nano-clay dispersion in the polymer matrix are observed when PP-g-MA is combined with the scCO2 and the sequential mixing techniques. The PP-g-MA based nano-clay composites have a high degree of exfoliated structure even with the addition of up to approximately 10 wt% nanoclay when using this technique, with mechanical properties such as yield strength and Young’s modulus being increased by as much as 12 and 88%, respectively, relative to the polymer matrix. It is believed that the modulus reported here is the highest reported in the literature for conventional PP’s.