This study systematically investigated the preparation conditions of palygorskite/Fe3O4 composites. The grain size of Fe3O4 was analyzed by fitting the Williamson–Hall equation. Combined with the catalytic degradation experiments of methylene blue via the Fenton reaction, the influence of Fe3O4 grain size on the catalytic performance of the composite was elucidated. Under different preparation conditions, the Fe3O4 grain size in the composites exhibited distinct variation characteristics. With an increase in the Fe3O4 loading ratio, the Fe3O4 grain size gradually increased, accompanied by an enhancement in the catalytic degradation performance. When the preparation temperature was varied, the Fe3O4 grain size increased with rising temperature, whereas the catalytic degradation performance of the composite gradually declined. Increasing the mechanical stirring speed led to a decrease in the Fe3O4 grain size, and the catalytic degradation performance of the composite increased accordingly. The results indicate that the Fe3O4 loading amount, preparation temperature, and mechanical stirring intensity can all regulate the Fe3O4 grain size in the palygorskite/Fe3O4 composite. Moreover, loading an appropriate amount of Fe3O4 particles onto the palygorskite surface and reducing the Fe3O4 grain size can both effectively improve the catalytic degradation performance of the PAL/Fe3O4 composite.