Thermally activated palygorskite and sepiolite clays are commonly used for the bleaching of edible oils and fats. However, their bleaching capacity can vary depending on physicochemical clay characteristics. The present study focused on the impact of thermally treated palygorskite and palygorskite-smectite clays on bleaching performance and showed a correlation between bleaching performance and the physicochemical characteristics of the clays. The mineralogical and chemical composition, along with certain physicochemical characteristics of thermally treated (heated at 300°C) palygorskite and palygorskite-smectite clays, were assessed for their effect on bleaching performance. The samples were collected from exploratory boreholes from four currently exploited clay deposits, namely Knidi, Pilori, Harami, and Velanida of the Upper Pliocene-Lower Pleistocene Ventzia Basin, west Macedonia, Greece. Palygorskite was formed diagenetically from smectite precursors of lateritic origin and deposited in a fluvial-palustrine environment. Clay minerals were characterized by X-ray diffraction (XRD), near-infrared spectroscopy (NIR), inductively coupled plasma optical emission spectrometry (ICP-OES) analysis, and gas porosimetry. The bleaching ability of the samples was evaluated by measuring the absorption of visible light through standard bleached rapeseed oil. Results revealed that the bleaching performance was superior in mixed palygorskite-smectite clays and was directly proportional to the palygorskite content and to both the apparent bulk density and external surface area of the clays. By contrast, bleaching ability was inversely proportional to the amount of non-clay minerals, but independent of the small variance in Al, Fe, and Mg contents of the clays or the octahedral composition of palygorskite. The presence of smectite in smaller amounts promoted to a small extent the efficiency of the palygorskite-rich clays from the Ventzia Basin.