This work presents a facile method to prepare nanoclay based nanocomposite of saturated polymer blend with synergistic mechanical properties. Nanocomposites of chlorinated polyethylene (CPE)/ethylene methacrylate copolymer (EMA)/nanoclay were prepared by a novel combination of poly(ε-caprolactone) (PCL) based masterbatch process and commercial melt mixing technique. Two variety of commercially available organo-modified nanoclay namely; polar Cloisite 30B with two hydroxyl groups in its organic modifier and non-polar Cloisite 20A were used as nanofiller. Both the nanoclay were further covalently modified with poly(ε-caprolactone) (PCL) by in-situ ring opening polymerization of ε-caprolactone. Thus the synthesized nanoclay masterbatches (C60E40/PCL-g-20A and C60E40/PCL-g-30B) were melt mixed with CPE/EMA blend of 60/40 ratio. The mechanical properties of C60E40/PCL-g-30B were found to be higher than C60E40/PCL-g-20A. This is because of high degree of exfoliation, polymer-filler interaction, and excellent dispersion in of nano-platelets in the polymer matrix as evident from the TEM, SEM and FTIR analysis. Hence, covalent modification of Cloisite 30B with PCL is a facile and effective method for immense improvement in mechanical properties of CPE/EMA blend.