Exfoliated nanocomposites of poly(3,4-ethylenedioxythiophene) (PEDOT) and montmorillonite (MMT) have been prepared by in situ anodic polymerization, concentrations of clay ranging from 5% w/w to 50% w/w being included in the aqueous polymerization medium. The morphology, electrical conductivity, adherence, thermal stability, charge storage, specific capacitance, electrostability, doping level and band gap have been determined for the different PEDOT–MMT nanocomposites and compared with those of pristine PEDOT. Many of these properties have been found to depend on both the concentration of clay and the thickness (micrometric or nanometric) of the generated films. Types I and II ultracapacitors have been fabricated using nanometric and micrometric films of PEDOT and PEDOT–MMT. The properties of such devices have been characterized and compared with those reported in the literature for ultracapacitors fabricated using nanocomposites of PEDOT and other inorganic materials. Both nanometric and micrometric type II ultracapacitors, which correspond to an asymmetric configuration of PEDOT and PEDOT–MMT films, have been found to present the better properties (e.g. the specific capacitance for nanometric and micrometric devices is 429 and 116 F g⁻¹, respectively), evidencing the favorable effect of the clay. Finally, the effects of the electrochemical degradation on the ultracapacitors have been rationalized using electrochemical impedance spectroscopy.