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In this work, the effect of the presence of silica nanoparticles in the structure, dynamics, and thermodegradation of poly(methyl methacrylate), PMMA, has been considered. A new method for preparing nanocomposites has been considered in which high-energy ball milling, HEBM, was used to uniformly disperse nanoparticles within a polymeric matrix (PMMA). Fourier transform infrared spectroscopy, FTIR, was used to analyze the structure and dynamics of the PMMA to study the influence of the presence of silica nanoparticles and finally to discuss the thermal stability of these nanocomposites. Dynamic thermogravimetric analyses were performed to carry out the kinetics analysis about the thermostability of the modified PMMA, being the milling process and the amount of nanoparticles the variables taken into account. The milling process creates chain ends on the PMMA favoring its first step of thermal degradation. There is only an improvement in terms of thermal stability if the amount of silica nanoparticles within the PMMA exceeds a threshold higher than 2% by weight when the unfavorable effect of the milling process is compensated.