PCL/clay nanocomposites were prepared by microwave‐assisted in situ ROP of ε‐caprolactone in the presence of either unmodified clay (Cloisite® Na+) or clay modified by quaternary ammonium cations containing hydroxyl groups (Cloisite 30B). This PCL showed significantly improved monomer conversion and molecular weight compared with that produced by conventional heating. An intercalated structure was observed for the PCL/Cloisite Na+ nanocomposites, while a predominantly exfoliated structure was observed for the PCL/Cloisite 30B nanocomposites. Microwave irradiation proved to be an effective and efficient method for the preparation of PCL/clay nanocomposites.