Aflatoxin B1 is one of the most toxic mycotoxins contaminating animal feed, and bentonite clays are widely used as adsorbents to reduce its bioavailability. The influence of particle size on bentonite adsorption performance, particularly regarding cost-effectiveness of fine fractionation, remains underexplored. This study investigated natural bentonite from the Bijelo Polje deposit (Montenegro) containing ~55% montmorillonite and its size fractions: <0.200 mm (~72% smectite), <0.037 mm (~75% smectite), and <0.005 mm (~91% smectite), obtained by sieving and centrifugation. Fractions were characterized by laser diffraction, chemical composition, cation exchange capacity, and quantitative XRD (Rietveld refinement). In vitro AFB1 adsorption (2–50 mg/L initial concentration, pH 3.0, 0.02% w/v adsorbent) simulated monogastric gastrointestinal conditions. Particle size reduction progressively increased smectite content, CEC (44–70 meq/100 g), and purity, reducing heavy metals to undetectable levels. All purified fractions achieved satisfactory AFB1 binding (>90% at 4 mg/L). The finest <0.005 mm fraction exhibited the highest maximum adsorption capacity (qmax ≈ 240 mg/g) due to superior specific surface area and site accessibility. However, only the <0.005 mm fraction meets EU regulatory requirements (Commission Implementing Regulation (EU) No 1060/2013) for AFB1-binding feed additives (≥70% dioctahedral smectite, low accompanying minerals, >90% binding), as coarser fractions retain excess quartz and calcite. Extensive fractionation, despite higher costs, is essential for regulatory-compliant, high-performance natural bentonite adsorbents.