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Polymer‐clay nanocomposites (PCNs) are commonly applied as multi‐functional structural materials with exceptional thermomechanical properties, while maintaining the characteristics of lightweight and optical clarity. In this study, building upon previously developed coarse‐grained (CG) models for nanoclay and poly (methyl methacrylate) (PMMA), we employ molecular dynamics (MD) simulations to systematically investigate the thermomechanical properties of PCNs when arranged in stacked configurations. Incorporating stacked clay nanofillers into a polymer matrix, we systematically conduct shear and tensile simulations to investigate the influences of variations in weight percentage, system temperature, and nanoclay size on the thermomechanical properties of PCNs at a fundamental level. The weight percentage of nanoclay in nanocomposites proves to have a significant influence on both the shear and Young's modulus (e.g., the addition of 10 Wt% nanoclay leads to an increase of 32.6% in the Young's modulus), with each exhibiting greater mechanical strength in the in‐plane direction compared to the out‐of‐plane direction, and the disparity between these two directions further widens with an increase in the weight percentage of nanoclay. Furthermore, the increase in the size of nanoclay contributes to an overall modulus enhancement in the composite while the growth reaches a saturation point after a certain threshold of about 10 nm. Our simulation results indicate that the overall dynamics of PMMA are suppressed due to the strong interactions between nanoclay and PMMA, where the confinement effect on local segmental dynamics of PMMA decays from the nanoclay‐polymer interface to the polymer matrix. Our findings provide valuable molecular‐level insights into microstructural and dynamical features of PCNs under deformation, emphasizing the pivotal role of clay‐polymer interface in influencing the thermomechanical properties of the composite materials. Highlights: CG modeling is performed to explore the thermomechanical behavior of PCN.Effects of nanoclay weight percentage and size on modulus are studied.Interface leads to nanoconfinement effect on Tg and molecular stiffness.Correlations between molecular stiffness and modulus are identified.Simulations show spatial variation of dynamical heterogeneity. [ABSTRACT FROM AUTHOR]