Polymer Core-Shell particles, consisting two different polymers each having different property, are widely used as compatibilizer for incompatible blend and impact modifier of plastics. We have shown an environment friendly approach to obtain thermally stable Polystyrene-Poly(methyl methacrylate)/Clay Core-Shell, micron sized nanocomposite particles using exfoliated sodium montmorillonite clay platelets by in-situ seeded suspension polymerization technique. After thorough characterization, it has been found that thermal stability strongly depends on location and loading of clay either in the core/shell phase or both phases of the particles.