The interlayer surface of MgAl layered double hydroxide (MgAl-LDH) was modified by exchanging about half of the interlayer nitrate anions by dodecyl sulfate anions (DS), LLDPE was then intercalated from melt to get the LLDPE/MgAl-LDH nanocomposites. The samples were characterized by Fourier transform infrared (FTIR) spectroscopy, X-ray diffraction (XRD), ion chromatography, transmission electron microscopy (TEM), differential scanning calorimetry (DSC), and thermogravimetry (TGA). The nanoscale dispersion of MgAl-LDH layers in the LLDPE matrix was verified by the disappearance of the (00l) XRD reflection of the modified MgAl-LDH and by the TEM observation. The DSC data show that exfoliated LDH layers increase the endothermic peak temperature by about 5 °C when 5 wt% MgAl(H-DS) is added. The TGA profiles of LLDPE/MgAl-LDH nanocomposites show a faster charring process between 210 and 370 °C and a higher thermal stability above 370 °C than LLDPE. The decomposition temperature of the nanocomposites with 10 wt% modified MgAl-LDH can be 42 °C higher than that of LLDPE at 40% weight loss. Dynamic FTIR spectra reveal that this nanocomposite has a slower thermooxidative rate than LLDPE between 200 and 320 °C and the exfoliated MgAl LDH layers promote the charring process. This kind of nanocomposite is a promising flame-retardant for polymeric materials.