The aim of this study was to investigate if cellulose nanofiber (CNF) gels with high water contents can be processed to nanocomposites with starch powder using continuous twin-screw extrusion and to improve the mechanical properties and moisture sensitivity of thermoplastic starch. Nanocomposites with 0, 5, 10, 15 and 20 wt.% cellulose nanofiber content were prepared. The characterization methods were conventional tensile testing, UV/Vis spectroscopy, scanning electron microscopy and moisture absorption. The cellulose nanofiber gel with high water content was mixed with starch powder, fed to the extruder as powder, performing the gelatinization of starch as well as the mixing of CNF in one step. The microscopy study showed that the CNF aggregated during the process and that the screw configuration needs to be more distributive and dispersive to get homogeneous material. The results showed that the addition of CNF improved the mechanical properties and had a positive effect on moisture uptake of the thermoplastic starch. Also, the translucency of the TPS/CNF composite films remained, even with high CNF content (20 wt.%).