Grafting of ethylene glycol methacrylate phosphate (EGMP) monomer polymerized from alumina nanoparticles has been performed in order to confer a better thermal stability and fire retardancy to PMMA and PS nanocomposites. Grafting and polymerization processes have been investigated using FTIR, TGA, and elemental analyses. Thermal stability and decomposition routes of monomer and polymer grafted alumina have been studied using thermogravimetric analysis and compared with the thermal behavior of the same alumina modified with octylsilane. The thermal stability of EGMP supported by the nanoparticles is higher than that of free EGMP. The incorporation of 5 wt% of both surface treated alumina in PMMA and PS leads to an improvement of thermal stability in comparison with unfilled polymers as well as nanocomposites containing unmodified alumina. Furthermore, the grafting of organic compounds on alumina also allows the peak of heat release rate measured using a cone calorimeter to be significantly reduced for PMMA nanocomposites.