Poly(N-vinyl caprolactam) (PVCL) hydrogels usually suffer from the imporous structure and poor mechanical characteristics as well as the toxicity of cross-linkers, although PVCL itself is biocompatible. In this paper, novel biocompatible thermoresponsive poly(N-vinyl caprolactam)/clay nanocomposite (PVCL-Clay) hydrogels with macroporous structure and improved mechanical characteristics are developed for the first time. The macroporosity in the hydrogel is introduced by using Pickering emulsions as templates, which contain N-vinyl caprolactam (VCL) monomer as dispersed phase and clay sheets as stabilizers at the interface. After polymerization, macropores are formed inside the hydrogels with the residual unreacted VCL droplets as templates. The three-dimensional PVCL polymer networks are cross-linked by the clay nanosheets. Due to the nanocomposite structure, the hydrogel exhibits better mechanical characteristics in comparison to the conventional PVCL hydrogels cross-linked by N,N'-methylene diacrylamide (BIS). The prepared PVCL-Clay hydrogel possesses remarkable temperature-responsive characteristics with a volume phase transition temperature (VPTT) around 35 °C, and provides a feasible platform for cell culture. With macroporous structure and good mechanical characteristics as well as flexible assembly performance, the proposed biocompatible thermoresponsive PVCL-Clay nanocomposite hydrogels are ideal material candidates for biomedical, analytical, and other applications such as entrapment of enzymes, cell culture, tissue engineering, and affinity and displacement chromatography.