Sepiolite (Sep)⁻styrene butadiene rubber (SBR) nanocomposites were prepared by using nano-sized sepiolite (NS-SepS9) fibers, obtained by applying a controlled surface acid treatment, also in the presence of a silane coupling agent (NS-SilSepS9). Sep/SBR nanocomposites were used as a model to study the influence of the modified sepiolite filler on the formation of immobilized rubber at the clay-rubber interface and the role of a self-assembled nanostructure in tuning the mechanical properties. A detailed investigation at the macro and nanoscale of such self-assembled structures was performed in terms of the organization and networking of Sep fibers in the rubber matrix, the nature of both the filler⁻filler and filler⁻rubber interactions, and the impact of these features on the reduced dissipative phenomena. An integrated multi-technique approach, based on dynamic measurements, nuclear magnetic resonance analysis, and morphological investigation, assessed that the macroscopic mechanical properties of clay nanocomposites can be remarkably enhanced by self-assembled filler structures, whose formation can be favored by manipulating the chemistry at the hybrid interfaces between the clay particles and the polymers.