Nanocomposites based on thermoplasticized starch filled with cellulose nanofibrils (CNFs) were produced in a single step by twin-screw extrusion of corn starch granules, glycerol as a plasticizer, and oxidized cellulose fibers. The objective was to demonstrate the possibility to produce CNFs in situ during the processing of the nanocomposite when a hydrophilic polymer matrix was used. For comparison purpose, nanocomposites were also prepared by extrusion of a previously prepared CNF suspension, corn starch granules and glycerol. The nanocomposites were characterized in terms of mechanical properties, morphology, crystallinity, and transparency. The nanocomposites prepared via in situ fibrillation displayed a higher strength than those produced by incorporating readily prepared CNFs. In addition, the transparency degree up to a 15 wt% CNF content was similar for the two processing routes, confirming the effective breakdown of pretreated cellulose fibers into CNFs during the extrusion process.