Fumed silica nanoparticles with 14 nm of diameter were blended with poly(methylmethacrylate), PMMA, by means of a high energy ball milling process. AFM analysis revealed how this process of blending allows obtaining a very homogeneous dispersion of the nanoparticles within the PMMA. Furthermore, it was observed that the properties of the composite are highly dependent on the active milling time: (i) SEM inspection showed that the particle size of the silica-PMMA nanocomposite decreases and (ii) DSC analysis demonstrated that the Tg also decreases due to a reduction in the molecular weight of the PMMA caused by chain scission during the high energy blending process. Two Tg's were obtained in the case of the nanocomposite when milling times were higher than 6 h, one of them being even higher than that of the PMMA without being subjected to the HEBM process. This result was assigned to surface-induced molecular weight segregation near the nanoparticles surface. It has been demonstrated the possibility of preparing transparent nanocomposites with excellent moldability.