The effect of nanoclay on the high strain rate mechanical properties of syntactic foams is studied. Two types of microballoons with different wall thicknesses are used in fabrication of plain and nanoclay syntactic foams. Plain syntactic foams are fabricated with 60% volume fraction of glass microballoons. 1%, 2%, and 5% volume fractions of Nanomer I.30E nanoclay are incorporated to produce nanoclay syntactic foams. High strain rate test using split Hopkinson pressure bar (SHPB) apparatus is performed on all types of plain and nanoclay syntactic foams. Dynamic modulus, strength, and corresponding strain are calculated using the SHPB data. Quasistatic test is also performed and results are compared with the dynamic SHPB results. The results demonstrate the importance of nanoclay and microballoon wall thickness in determination of syntactic foam dynamic properties. It is found that at a high strain rate, the strength and modulus of composite foams having K46 microballoons increase due to addition of 1% volume fraction of nanoclay. However, in composite foams having S22 microballoons, the increase in strength is not significant at a high strain rate. Further increase in nanoclay volume fraction to 2% and 5% reduces the strength and modulus of composite foams having S22 microballoons. Difference in wall thickness of microballoons is found to affect the strength, modulus, strain energy, and deformation of composite foams. Composite foams fabricated with thicker walled microballoons (K46) show comparatively higher values of strength, modulus, and strain energy compared with thin walled (S22) microballoons. Scanning electron microscopy shows that crack propagation behavior is distinct at different strain rates.