Bio-based polyamide 11 (PA11) and water-soluble polyethylene oxide (PEO) (80/20 wt/wt) were used to prepare an immiscible polymer blend. Ternary systems containing 1 wt% hydrophilic clay (organomodified or native clay) were elaborated using extrusion with and without injection of water. The cryoscopic effect on PA11 and PEO observed by high pressure differential scanning calorimetry indicated that they were both miscible with water under conditions of water-assisted extrusion. Transmission electron microscopy revealed a selective localization of both types of clay in the matrix (PA11). However, with water-assisted extrusion a part of the organomodified clay platelets was localized into the dispersed phase (PEO). Under rheological tests, the unmodified clay exhibited a different effect compared with the organomodified clay on the modulus and viscosity of the blend. The van Gurp–Palmen plot indicated that clay potentially decreased the interfacial tension between PA11 and PEO, while the weighted relaxation spectra confirmed that water improved the dispersion state of the clay and limited the polymer degradation. Thermogravimetric analyses showed that the presence of clay and water improved the thermal stability of PA11/PEO blends. Our work is the first one which has realized water-assisted extrusion of a clay-filled ternary blend.