Numerous adsorbents have been reported for efficient removal of dye from water, but the high cost raw materials and complicated fabrication process limit their practical applications. Herein, novel nanocomposite microspheres were fabricated from chitin and clay by a simple thermally induced sol-gel transition. Clay nanosheets were uniformly embedded in a nanofiber weaved chitin microsphere matrix, leading to their hierarchical architecture. Benefiting from this unique structure, microspheres could efficiently remove methylene blue (MB) through a spontaneous physic-sorption process which fit well with pseudo-second-order and Langmuir isotherm models. The maximal values of adsorption capability obtained by calculation and experiment were 152.2 and 156.7 mg g, respectively. Chitin/clay microspheres (CCM2) could remove 99.99% MB from its aqueous solution (10 mg g) within 20 min. These findings provide insight into a new strategy for fabrication of dye adsorbents with hierarchical structure from low cost raw materials.