The unmodified clay has been fully exfoliated in epoxy resin with the aid of a novel ultrafine full-vulcanized powdered rubber. Epoxy/rubber/clay nanocomposites with exfoliated morphology have been successfully prepared. The microstructures of the nanocomposites were characterized by means of X-ray diffraction and transmission electron microscopy. It was found that the unmodified clay was fully exfoliated and uniformly dispersed in the resulting nanocomposite. Characterizations of mechanical properties revealed that the impact strength of this special epoxy/rubber/clay nanocomposite increased up 107% over the neat epoxy resin. Thermal analyses showed that thermal stability of the nanocomposite was much better than that of epoxy nanocomposite based on organically modified clay.