Clay-polymer nanocomposites (CPNs) are an important group of materials that are currently receiving increasing attention. The study of the properties of new CPNs is vital, as it facilitates a deeper understanding of their applicability. This study assessed for the first time the thermal stability of clay-polysiloxane nanocomposite as well as their degradation mechanism under an inert atmosphere with the use of the TG/MS/FTIR (simultaneous mass spectrometry and Fourier transform infrared spectroscopy of off-gases from a thermogravimetric analyzer) technique. Organo-montmorillonite (organo-Mt) nanofiller was introduced at different amounts (0, 1, 2, 4, and 8 wt% in relation to the weight of the polymer matrix) into the structure-controlled polysiloxane network. The polysiloxane matrix was obtained by cross-linking poly(methylhydrosiloxane) with poly(dimethylsiloxane) terminated by vinyldimethylsiloxy groups at both ends. This cross-linking was carried out through a hydrosilylation reaction with an equimolar ratio of Si-H and Si-CH=CH2 groups, in the presence of Karstedt's catalyst. Along with an increased amount of organo-Mt, a deterioration in nanocomposites thermal stability, with an increase in the number of thermal decomposition steps, and changes in the degradation mechanism of polysiloxane matrix were observed. The presence of organo-Mt mainly affected the redistribution of bonds at the silicon atoms during the thermolysis of the studied materials. Regardless of the amount of the mineral nanofiller added, the nanocomposites had a similar residual mass remaining after pyrolysis of the studied CPNs at 1000 degrees C, which was much lower than that of the initial polysiloxane network.