Nafion/clay hybrid membranes with a unique microstructure were synthesized using a fundamentally new approach. The new approach is based on depletion aggregation of suspended particles - a well-known phenomenon in colloids. Using cryo-TEM we show that the clay particles in the hybrid form a network structure with an average cell size of 500 nm. Compared to pure Nafion the swelling of the hybrid membranes in water and methanol is dramatically reduced while their selectivity (ratio of conductivity over permeability) increases. The small decrease of ionic conductivity for the hybrid membranes is more than compensated by the large decrease in methanol permeability. Lastly the hybrid membranes are much stiffer and can withstand higher temperatures compared to pure Nafion. Both of these characteristics are highly desirable for use in fuel cell applications, since they might allow the use of a thinner membrane circumventing problems associated with the membrane resistance as well as enable high temperature applications.