Palygorskite is a microporous clay mineral with several important applications, including use as a dye nanoscaffold, due to its ability to incorporate apt guest molecules and form exceptionally stable composites. Such a property covers widespread fields of interest, from pottery pigments to light harvesting. In all these applications, the stability of these composites at progressively increasing temperatures is an important parameter to determine their condition of usage. This work investigates the nature and strength of the stabilizing host/guest interactions at the basis of the exceptional stability of the methyl red@palygorskite composite system, which undergo a dynamic but reversible evolution depending on the level of heating. A multitechnique analytical protocol involving synchrotron X-ray powder diffraction (S-XRPD) and thermogravimetric analysis (TGA) coupled with infrared spectroscopy (FTIR) and gas chromatography (GC-MS) was followed, which allowed us to sharply identify the species evolved during heating. Moderate temperatures (140-300 °C) cause stabilization of H-bonds between the structural H2O and the carboxyl group of the dye, whereas higher ones (>300°C) trigger formation of direct COOH/octahedral Mg bonds favored by dehydration. Cooling below 300°C implies gradual reversibility of the observed trend due to rehydration from environmental moisture; additional heating (>400°C), conversely, causes methyl red decomposition, fragmentation, and further expulsion from the host tunnels (∼500°C). The encapsulated dye in zwitterionic, trans, and/or protonated form affects the hosting system properties, preventing structural folding and strongly modifying the mechanism of water release for both structural and zeolitic H2O. Experimental results were interpreted also with the help of structural models obtained by molecular mechanics simulations, offering atomistic insights on the mechanisms at the basis of the observed phenomena.