In this paper, a comparison of the role of boehmite (AlOOH) and alumina (Al2O3) in the thermal stability and flame retardant behaviour of poly(methyl methacrylate) (PMMA) is presented. PMMA–AlOOH and PMMA–Al2O3 nanocomposites were prepared by melt blending with different filler contents. These nanocomposites were studied by thermogravimetric analysis (TGA) and cone calorimetry. In the presence of the filler (alumina or boehmite), the thermal stability of the polymer appeared to be significantly improved. An increase of the decomposition temperature of between about 19 and 35 °C was demonstrated by TGA. Cone calorimeter measurements showed that the peak of heat release rate is lowered in the presence of AlOOH or Al2O3 in comparison to pure PMMA and that this decrease is higher when the filler content increases. When loading rate is higher (15 wt%), a significant improvement in fire resistance of PMMA was observed in both systems but with two different modes of action.