Since interfacial properties rely on interactions between polymers and nanoparticles at interfaces, obtaining a minimization of the interfacial energy can be complicated when nanoparticles are added in a polymer blend, even more complicated when the blend is mixed with conventional flame retardant (FR) agents. We here show that the addition of nanoparticles, such as layered silicates and carbon nanotubes (CNTs), could not only enhance the compatibilization of immiscible polymer blends but also improve the degree of the dispersion of FR agents, since the nanoparticles were seen at either the blend interfaces or the FR agents. In addition, we have demonstrated that the addition of the clays can stabilize the blends against further phase segregation, thereby suppressing the formation of either ribbon-like or tubular-like structures along the interfaces during heating. These structures can significantly improve flame retardant properties, such as heat release rate (HRR) and mass loss rate (MLR), which can be evidenced by enhanced thermal conduction within the structures. In spite of these improvements, most polymer blends with the nanoparticles cannot be rendered self-extinguishing unless the conventional FR agents are added. Furthermore, too much added FR agents deteriorate material properties because the FR agents can be classified as an additive. Therefore, we have showed that the FR agents can be directly absorbed on the clay surface, which not only improves the dispersion of FR agents but also results in the exfoliation and/or intercalation in several homopolymers. The strong absorption of FR agents on the nanoparticles can effectively achieve the result of self-extinguishment. This is obtained from the interfaces between the FR agents and the nanoparticles, where a synergy may be attributed to the interfacial activity and the improved thermal conductivity. Finally, we here explain a mechanism of the self-extinguishment of nanocomposites containing both the FR agents and the nanoparticles in terms of the thermal dynamic behaviors of the nanoparticles.