We compare results for polymer nanocomposites of poly(methyl methacrylate) (PMMA) and carbon nanofibers (CNFs) prepared by three different processing techniques: melt-compounding, solvent casting and in situ polymerization. Moreover, CNFs were used as received and functionalized with oxygen and nitrogen groups. Mechanical properties and rheological behavior of the composites revealed a strong filler–polymer interface interaction in the in situ polymerized composites, even through covalent binding, while was noticed to be weaker in melt-compounding and solvent casting. In addition, in these two further cases, the addition of CNFs, pristine or functionalized, improved toughness of the PMMA.