A continuous ultrasound assisted process using a single screw compounding extruder with an ultrasonic attachment was developed to prepare polyolefin/clay nanocomposites. High-density polyethylene and isotactic polypropylene were compared. The feed rate that controls the residence time of the polymer in the ultrasonic treatment zone was varied. Die pressure and power consumption were measured. Rheological properties, morphology, and mechanical properties of the untreated and ultrasonically treated nanocomposites were studied. Similarities and differences of obtained nanocomposites are discussed based on their properties and structural characteristics. The modified Halpin-Tsai theory of composite materials has been employed in order to predict the effect of incomplete exfoliation of clay platelets on the Young's modulus of the nanocomposites. A good agreement between experimental and theoretical data has been observed when reduction of the reinforcement efficiency of clay had been incorporated through the reduced aspect ratio of elementary clay platelets.