<PAGE>   1

                                    FORM 10-K

                       SECURITIES AND EXCHANGE COMMISSION
                             Washington, D.C. 20549

(Mark One)

[X] ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT
OF 1934
For the fiscal year ended June 30, 1999

                                       OR

[ ] TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE
ACT OF 1934
For the transition period from                to
                               --------------    ----------------

Commission file number 1-8824

                               CLAYTON HOMES, INC.
             (Exact name of registrant as specified in its charter)

Delaware                                 62-1671360
------------------------------           ---------------------------------------
State or other jurisdiction of           (I.R.S. Employer Identification Number)
incorporation or organization


5000 Clayton Road
Maryville, Tennessee                     37804
------------------------------           ---------------------------------------
(Address of principal executive          (Zip Code)
offices)

Registrant's telephone number, including area code: 423-380-3000
Securities registered pursuant to Section 12(b) of the Act:

                                                        Name of each exchange on
Title of each class                                     which registered
--------------------------------------                  ------------------------
COMMON STOCK, $.10 PAR VALUE PER SHARE                  NEW YORK STOCK EXCHANGE

      Securities registered pursuant to section 12(g) of the Act: None

Indicate by check mark whether registrant (1) has filed all reports required to
be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during
the preceding 12 months (or for such shorter period that the registrant was
required to file such reports), and (2) has been subject to such filing
requirements for the past 90 days. Yes [X] No [ ]

Indicate by check mark if disclosure of delinquent filers pursuant to Item 405
of Regulation S-K is not contained herein, and will not be contained, to the
best of registrant's knowledge, in definitive proxy or information statements
incorporated by reference in part III of this Form 10-K or any amendment to this
Form 10-K. [ ]

Aggregate market value of the voting stock held by non-affiliates of the
registrant on August 31, 1999, was approximately $955,496,520 (100,578,581
shares at closing price on the NYSE of $9.50).

Shares of common stock, $.10 par value, outstanding on August 31, 1999, were
140,302,550.

Exhibit index appears on pages 14-15.

                       DOCUMENTS INCORPORATED BY REFERENCE

<TABLE>
<CAPTION>
Part of Form 10-K                   Documents from which portions are incorporated by reference
-----------------                   -----------------------------------------------------------
<S>                                 <C>
Part II (except for Item 5)         Annual Report to Shareholders for fiscal year ended June 30, 1999

Part III                            Proxy Statement relating to Company's
                                    Annual Meeting of Shareholders on October 27, 1999
</TABLE>




                                       1

<PAGE>   2







                               CLAYTON HOMES, INC.

                                     PART I

ITEM 1.  BUSINESS.

GENERAL

Clayton Homes, Inc. and its subsidiaries (the Company) produce, sell, finance
and insure primarily low to medium-priced manufactured homes. The Company's 19
manufacturing plants produce homes which are marketed in 31 states through 1,052
retailers, of which 306 are Company-owned sales centers and 75 are Company-owned
community sales offices. Installment financing and insurance products are
offered to its homebuyers and those buying from selected independent retailers.
Such financing is provided through its wholly-owned finance subsidiary,
Vanderbilt Mortgage and Finance, Inc. (VMF). The Company acts as agent, earns
commissions and reinsures risks on physical damage, family protection, and home
buyer protection insurance policies issued by a non-related insurance company
(ceding company) in connection with its home sales. The Company also develops,
owns, and manages manufactured housing communities.

The Company is a Delaware corporation whose predecessor was incorporated in 1968
in Tennessee. Its principal executive offices are located near Knoxville,
Tennessee.

The following table indicates the percentage of revenue derived from sales by
Company-owned retail centers, sales to independent retailers and financial
services operations and other income for each of the last three fiscal years.

<TABLE>
<CAPTION>
                                                     YEAR ENDED JUNE 30,
                                                   ----------------------
                                                   1999     1998     1997
                                                   ----     ----     ----
<S>                                                 <C>      <C>      <C>
         Sales by Company-owned retail centers
            and communities ..................      53%      50%      52%
         Sales to independent retailers ......      25%      28%      28%
         Financial services and other ........      22%      22%      20%
                                                   ----     ----     ----
         Total ...............................     100%     100%     100%
                                                   ====     ====     ====
</TABLE>

For information relating to the Company's four major business segments, see Note
10 to the Consolidated Financial Statements in the Company's Annual Report to
Shareholders.

Company sales reflect the seasonality of the manufactured housing industry. In
recent years, approximately 30-31% of the Company's sales have occurred in its
fourth quarter ended June 30.

MANUFACTURED HOMES

A manufactured home made by the Company is a factory-built, completely finished
dwelling. Constructed to be transported by truck, the home is mounted on wheels
attached to its frame. Manufactured homes are designed to be permanent,
owner-occupied residences sited and attached to utilities.

The Company manufactures a variety of single and multi-section homes in a wide
price range. Retail prices range from $10,000 to $75,000 with sizes from 500 to
2,400 square feet.

The Company markets homes under the names of Clayton and Norris. Included
standard features are central heating, range, refrigerator, and
color-coordinated window, wall and floor treatments. Optional features include
central air conditioning, wood-burning fireplaces, hardwood floors, whirlpool
tubs, entertainment systems, microwaves, dishwashers, washers and dryers,
skylights and furniture.



                                       2
<PAGE>   3


MANUFACTURING OPERATIONS

The Company manufactures homes in 19 facilities, ranging in size from 63,000 to
194,000 square feet. See "Item 2. Properties" for a listing by location. The
Company's manufactured homes are built in its plants using assembly-line
techniques. Completion of a home ordinarily takes two days. Homes are generally
produced against orders received from independent and Company-owned retail
centers; therefore the Company does not normally maintain a significant
inventory of homes at its plants. Completed homes are transported to the retail
centers by independent carriers.

The Company's plants operate on a one-shift-per-day basis, normally for a
five-day week, with the capacity to produce approximately 36,000 homes per year.
During the fiscal year ended June 30, 1999, the Company produced 28,370 homes.

The principal materials utilized in the production of the Company's homes are
steel, aluminum, wood, fiberglass, carpet, vinyl floor covering, hardware items,
appliances and electrical items. The Company purchases these and other items
from a number of supply sources, and it believes that the materials and parts
necessary for the construction and assembly of its homes will remain readily
available from these sources. In the event that any of these items are not
readily available or are available at a higher cost than could be passed on to
consumers, the operations of the Company could be adversely affected.

The Company offers one year limited warranty programs covering manufacturing
defects in materials or workmanship in a home. Warranties covering appliances
and equipment installed in the homes generally are obligations of the
manufacturers of such items and not those of the Company. Warranty and service
costs during the years ended June 30, 1999, June 30, 1998, and June 30, 1997,
amounted to approximately $16,085,000, $14,801,000, and $12,308,000,
respectively.

The backlog of firm orders for homes manufactured by the Company, including
orders from Company-owned retail centers, was approximately $42,600,000 and
$54,800,000 on June 30, 1999, and 1998, respectively. Based on the Company's
production rate, approximately three weeks would be required to fill backlog
orders at June 30, 1999.

SALES OF HOMES MANUFACTURED BY THE COMPANY

The following table sets forth manufacturing sales data for the number of homes
shipped to Company-owned retail centers and to independent retailers, total
number of homes sold, number of plants, number of independent retailers and
number of Company-owned retail centers for the periods indicated.

<TABLE>
<CAPTION>
                                                                 AT OR FOR THE YEAR
                                                                    ENDED JUNE 30,
                                                            ----------------------------
                                                             1999       1998       1997
                                                            ------     ------     ------
<S>                                                         <C>        <C>        <C>
Number of homes sold to independent retailers .........     14,980     14,728     14,375
Number of homes shipped to Company-owned retail centers     13,364     12,922     11,455
                                                            ------     ------     ------
Total .................................................     28,344     27,650     25,830
                                                            ======     ======     ======
Number of plants operating ............................         19         18         17
Number of independent retailers .......................        671        702        663
Number of Company-owned communities ...................         75         71         67
Number of Company-owned retail centers ................        306        273        245
</TABLE>

COMPANY RETAIL OPERATIONS

As of June 30, 1999, the Company sold homes through 306 Company-owned retail
centers in 22 states. In addition to selling homes built by the Company,
virtually all of these retail centers sell new homes manufactured by other
companies and previously-owned manufactured homes.

The following table indicates the number of Company-owned retail centers and
certain information relating to homes sold during the last three fiscal years.



                                       3
<PAGE>   4

<TABLE>
<CAPTION>
                                                                YEAR  ENDED JUNE 30,
                                                           -------------------------------
                                                            1999        1998        1997
                                                           -------     -------     -------
<S>                                                        <C>         <C>         <C>
Number of Company-owned retail centers ...............         306         273         245
Number of new homes sold (including homes built by the
    Company and by other manufacturers) ..............      14,894      13,250      13,425
Average retail price of new homes sold ...............     $41,173     $37,864     $34,209
Number of previously-owned homes sold ................       4,580       3,287       3,621
</TABLE>

All of the Company-owned retail centers employ salespeople who are primarily
compensated on a commission basis. The retail centers do not have administrative
staffs since most administrative functions are performed at the Company's
corporate headquarters.

To provide customers a wider price range of homes, the Company purchases
previously-owned homes from individuals and from other retailers, as well as
foreclosed homes from lenders throughout its trade territory.

Homes sold by Company-owned retail centers are delivered to the homeowners'
sites by trucks either owned by the Company or leased for the particular
delivery. The purchase price of the home may include delivery and setup of the
home at the retail homeowner's site. Electrical, water, and gas connections are
performed by licensed technicians.

INDEPENDENT RETAILERS

In the years ended June 30, 1999, and 1998, 53% of homes manufactured by the
Company were sold to its independent retailers. As of June 30, 1999, the Company
supplied 671 independent retailers in 29 states with homes. The Company's
independent retailer network enables it to distribute homes to more markets,
more quickly, without as large an investment in management resources and
overhead expenses as is required with Company-owned retail centers. Sales to
independent retailers ensure the Company that its homes are competitive with
other manufacturers in terms of consumer acceptability, product design, quality
and price.

The Company's finance subsidiary, VMF, provides financing for retail customers
of selected independent retailers with terms and conditions similar to those
provided to Company-owned locations.

The Company establishes relationships with independent retailers through sales
representatives from its manufacturing plants. These representatives visit
independent retailers in assigned areas to solicit orders for the Company's
homes. The area is generally limited to a 500 mile radius from each of the
Company's manufacturing plants due to the relatively significant cost of
transporting a home. Depending on the cost of the home and the manufacturing
competition within the area, a home may be competitively shipped shorter or
longer distances. During each of the last three fiscal years no retailer
accounted for more than 2% of the Company's consolidated revenues.

The Company's independent retailers provide their own inventory financing,
allowing the Company to receive payment for homes within two weeks after the
home is constructed. The Company does not require agreements with its
independent retailers, and the relationship between the Company and each of its
independent retailers may be terminated at any time by either party. The Company
believes its relationships with independent retailers are good, and has
experienced relatively little turnover among independent retailers in the past
several years. The Company generally has little control over the operations of
independent retailers.

Typically the Company neither provides inventory financing arrangements for
independent retailer purchases nor consigns homes. As is customary in the
industry, lenders financing independent retailer purchases require that the
Company execute repurchase agreements which provide that, in the event of
retailer default under the retailer's inventory financing arrangements, the
Company will repurchase homes for the amount remaining unpaid to the lender,
excluding interest and repossession costs. Historically, any homes repurchased
under such agreements are immediately resold to other retailers, including
Company-owned retail centers, at the repurchase price. During the last five
fiscal years, the Company has incurred no significant losses resulting from
these contingent obligations, but there can be no assurance that losses will not
occur in the future.



                                       4
<PAGE>   5

FINANCIAL SERVICES

The Company believes that the ability to make financing available to retail
purchasers is a material factor affecting the market acceptance of its product.
The Company facilitates retail sales by offering various finance and insurance
programs, and by maintaining relationships with conventional lenders such as
banks and finance companies for the pre-arranged sale of retail installment
contracts. The following table reflects the relative percentages of homes sold
by Company-owned retail centers which were financed through the Company, either
by VMF or by conventional lenders, and those sales made to customers who
arranged their own financing or paid cash.

<TABLE>
<CAPTION>
                                         YEAR ENDED JUNE 30,
                                       ----------------------
                                       1999     1998     1997
                                       ----     ----     ----
<S>                                    <C>      <C>      <C>
         VMF .....................      72%      75%      77%
         Conventional lenders ....       7%       5%       3%
         Customer arranged or cash      21%      20%      20%
                                       ----     ----     ----
         Total ...................     100%     100%     100%
                                       ====     ====     ====
</TABLE>

VMF also purchases and originates manufactured housing installment contract
receivables (also referred to as manufactured housing contracts) on an
individual basis from independent retailers. Retailers submit homebuyer
applications to VMF for approval and, provided that credit reports, employment
verification, and income and debt analysis meet VMF's criteria, a contract
purchase commitment is issued to the selling retailer.

VMF makes bulk purchases of manufactured housing contracts from banks and
commercial lenders. It also performs, on behalf of other institutions, servicing
of manufactured housing contracts that were not purchased or originated by VMF.
These purchases and servicing arrangements may relate to the portfolios of other
lenders or finance companies, governmental agencies, or other entities that
purchase and hold manufactured housing contracts.

UNDERWRITING POLICIES. Retail customers of the Company who express a desire to
obtain financing by or through the Company complete a credit application form
which is initially reviewed by the manager of the retail center and then
forwarded to VMF.

VMF's underwriting guidelines require that each applicant's credit, residence,
employment history and income to debt payment ratios meet predetermined
guidelines. If in the judgment of the VMF credit manager an applicant does not
meet minimum underwriting criteria, there must be other determining criteria in
order for an applicant to be approved. Credit managers confirm that the credit
investigation gives a complete and up-to-date accounting of the applicant's
creditworthiness and are encouraged to obtain second opinions on loans for
relatively large dollar amounts or those which tend to rank lower in terms of
underwriting criteria. Generally, the sum of the monthly installment housing
obligation, which includes the manufactured home loan payment and monthly site
costs, should not exceed 28% of the applicant's gross monthly income.

With respect to those homebuyers which are approved, VMF requires a down payment
in the form of cash, the trade-in value of a previously-owned manufactured home,
and/or the estimated value of equity in real property pledged as additional
collateral. For previously-owned homes, the trade-in allowance accepted by the
retailer must be consistent with the value of the home as determined by VMF in
light of current market conditions. The value of real property pledged as
additional collateral is estimated by retail personnel, who are not appraisers
but are familiar with the area in which the property is located. The average
down-payment for 1999 was 17% of the purchase price, while the minimum
down-payment for exceptional buyers was 5%. The purchase price includes the
stated cash sale price of the manufactured home, sales or other taxes and fees
and set-up costs.

The balance of the purchase price is financed using various installment sales
contracts or mortgage instruments providing for a purchase money security
interest in the manufactured home and a mortgage on any real property pledged as
additional collateral. Normally, the contracts provide for equal monthly
payments, generally over a period of seven to thirty years at fixed or variable
rates of interest. VMF believes the typical manufactured home purchaser is
primarily sensitive to the amount of the monthly payment and not necessarily to
the underlying interest rate.



                                       5
<PAGE>   6

VMF has developed financing options such as contracts with a seven-year term
(compared to the industry norm of 15 to 30 years) which provide financing to its
customers at a relatively lower cost. The Company offers a bi-weekly payment
program which provides for 26 payments per year, allowing homebuyers the
convenience of electronically drafting payments from their checking accounts.
The Company believes that such financing options are attractive to the customer
and improve market acceptance of its homes as well as improve delinquency and
repossession experience.

During the last 12 fiscal years, VMF was the most significant source of
financing for purchasers of homes sold by the Company-owned retail centers. In
fiscal 1988, VMF originated 5,692 contracts and in fiscal 1999, VMF originated
30,165 contracts. At June 30, 1999, VMF was servicing approximately 135,000
contracts with an aggregate dollar amount of $3.5 billion. VMF originated or
purchased approximately 120,000 of these contracts with an aggregate dollar
amount of $3.2 billion. The Company expects that VMF will continue to originate
a significant portion of the financing for purchasers of its homes.

The volume of manufactured housing contracts originated by VMF for the periods
indicated below and certain other information at the end of such periods is as
follows:

<TABLE>
<CAPTION>
                                                               CONTRACT ORIGINATIONS
                                                                 YEAR ENDED JUNE 30,
                                                          1999           1998          1997
                                                       ----------      --------      --------
<S>                                                    <C>             <C>           <C>
         Principal balance of contracts originated
             (in thousands) ......................     $1,085,484      $801,865      $646,624
         Number of contracts originated ..........         30,165        24,304        21,691
         Average contract size ...................     $   35,985      $ 32,993      $ 29,811
         Average interest rate ...................          10.40%        10.51%        11.10%
</TABLE>

The following table indicates the number of loans (in thousands) serviced by VMF
on the dates indicated:

<TABLE>
<CAPTION>
                                                              LOANS SERVICED (IN THOUSANDS)
                                                                    YEAR ENDED JUNE 30,
                                                             1999          1998          1997
                                                             ----          ----          ----
<S>                                                          <C>           <C>            <C>
         Originated and purchased loans serviced .            120           109            87
         Master servicing contracts ..............             15            17            15
                                                             ----          ----          ----
         Total ...................................            135           126           102
</TABLE>

VMF FUNDING. VMF draws on its short-term credit facilities with the Company to
fund manufactured home loans, while long-term financing is obtained through the
capital markets. In fiscal 1999, VMF completed four public offerings of
asset-backed securities totaling $1.3 billion. In excess of $4.1 billion of
securities have been issued and sold since 1991.

VMF's capital market activity, the primary source of permanent funding for its
lending activities, is in the form of asset-backed securities issued through its
special purpose entity. These securities, which are sold in public markets, are
collateralized by manufactured housing receivables which are either originated
or acquired by VMF. Certain of these receivables are originated and subserviced
by other entities. With respect to the securitized pools that contain
receivables originated or acquired by other entities, VMF is servicer for all
loans in the pools, with a subservicing arrangement on some loans originated or
acquired from other entities.

Loans insured by the Federal Housing Administration (FHA) or guaranteed by the
Veterans Administration (VA) are permanently funded through the Government
National Mortgage Association (GNMA) pass-through program. Under the GNMA
program, installment sales contracts are warehoused by VMF and then pooled in
denominations of approximately $2,500,000 to collateralize the issuance by VMF
of securities guaranteed by GNMA under the provisions of the National Housing
Act. Under the GNMA program, VMF retains the servicing of the installment sales
contracts and is responsible for passing through payments under the contracts to
GNMA security holders. During the fiscal year ended June 30, 1999, VMF
originated installment sales contracts eligible for financing under the GNMA
program having aggregate principal balances of $89,000. As of June 30, 1999, VMF
was servicing 246 GNMA pools totaling $125 million in principal balances. Use of
FHA financing minimizes the Company's contingent liability for these




                                       6
<PAGE>   7

installment sales contracts because of the government-insured nature of the
loans. Accordingly, the Company believes that the use of this form of financing,
for customers who qualify, increases the marketability of its manufactured
homes.

Certain of the agreements related to borrowings include covenants with respect
to the Company's financial condition, corporate existence and employment of
certain key individuals. The Company is contingently liable as guarantor on
installment contract receivables sold with recourse. At June 30, 1999, and 1998,
the outstanding principal balances of these receivables totaled approximately
$164 million and $188 million, respectively. The associated contingent liability
is approximately $22 million and $23 million, respectively. There were no
receivables sold with recourse in 1999, 1998 and 1997.

The Company believes that, as long as buyers of the Company's homes remain
sensitive primarily to the amount of their monthly payments rather than interest
rates and VMF is able to continue to implement its lending practices and pricing
policies, changes in interest rates will not materially affect its business.
There can be no assurance, however, that a significant change in interest rates
will not materially affect the Company's business and financial condition.

ACQUIRED CONTRACTS AND SERVICING ARRANGEMENTS. Certain acquired contracts are
originated by banks or commercial lenders, and acquired indirectly or directly
from them by VMF. The acquired contracts are purchased on the basis of
underwriting criteria that may be different from and may not be as strict as
VMF's underwriting criteria.

In fiscal 1994 and 1998, VMF became the servicer of 20,180 and 10,013
manufactured housing installment sales contracts with approximate principal
balances of $285 million and $267 million, respectively. VMF acts solely as
servicer with respect to these contracts and, thus, has no ownership interest
nor contingent liability related to this portfolio. At June 30, 1999, VMF was
servicing approximately 15,000 of these installment sales contracts with an
approximate principal balance of $269 million.

DELINQUENCY AND REPOSSESSION EXPERIENCE. VMF performs recordkeeping and
collection activities on all loans that it originates or purchases through
portfolio acquisitions. Unrelated institutions purchasing the Company's
installment sales contracts individually and directly from Company-owned retail
centers perform their own recordkeeping and collection activities, although the
Company is in some cases responsible for repossessing homes in the event such
action becomes necessary. The Company has not experienced losses from contracts
sold to other lenders.

Although the terms of the installment sales contracts vary according to the
financial institutions which purchase the contracts, most contracts provide that
the failure to make a payment as scheduled is an event of default which gives
rise to the right to repossess the home. However, generally the Company does not
repossess the home until payments are three months delinquent, unless the
borrower does not have apparent ability to bring payments current, in which case
repossession may occur sooner. The Company generally follows the same policy
with respect to loans insured by the FHA or guaranteed by the VA, although the
Company must also file a notice of claim within nine months after default with
the agency to preserve its rights under the programs.

The following table sets forth delinquent installment sales contracts as a
percentage of the total number of installment sales contracts on which the
Company provided servicing and was either contingently liable or owner. An
account is considered delinquent if any payment is past-due 30 days or more.



                                       7
<PAGE>   8


<TABLE>
<CAPTION>
                                                      DELINQUENCY PERCENTAGE AT JUNE 30,
                                                    1999                  1998            1997
                                                    ----                  ----            ----
                                           *Including  Excluding *Including  Excluding
                                              Access     Access     Access     Access
                                              ------     ------     ------     ------
<S>                                         <C>        <C>        <C>        <C>          <C>
Total delinquencies as percentage of
   contracts outstanding
   All contracts ........................      2.07%      1.87%      3.34%      2.16%      2.08%
   Contracts originated by VMF ..........      1.84       1.84       1.98       1.98       1.99
   Contracts acquired from other
        institutions ....................      3.14       2.08       8.68       3.26       2.68
</TABLE>

The following table sets forth information related to loan loss/repossession
experience for all installment contract receivables on which the Company is
either owner or contingently liable:

<TABLE>
<CAPTION>
                                                       LOAN LOSS/REPOSSESSION EXPERIENCE
                                                        AT OR FOR THE YEAR ENDED JUNE 30,
                                                    1999                  1998            1997
                                                    ----                  ----            ----
                                           *Including  Excluding *Including  Excluding
                                              Access     Access     Access     Access
                                              ------     ------     ------     ------
<S>                                         <C>        <C>        <C>        <C>          <C>
Net losses as percentage of average
     loans outstanding
     All contracts ......................       1.4%       1.2%       0.8%       0.8%       0.2%
     Contracts originated by VMF ........       1.0%       1.0%       0.8%       0.8%       0.0%
     Contracts acquired from other
          institutions ..................       3.7%       3.7%       1.8%       1.7%       1.8%
Number of contracts in repossession
       Total ............................     1,857      1,514      1,682      1,343        937
       Contracts originated by VMF ......     1,374      1,374      1,229      1,229        885
       Contracts acquired from other
          Institutions ..................       483        140        453        114         52
Total number of contracts in repossession
       as percentage of total contracts .      1.54%      1.27%      1.54%      1.33%      0.87%
</TABLE>

         * In May 1998, the Company purchased $245 million in loans from Access
Financial Lending Corporation (Access) and contracted to service an additional
$267 million - for a total of $512 million in servicing.

The Company pays the unpaid balance of an installment sales contract for which
it is liable upon repossession of the home. The Company believes that as long as
it is able to sell repossessed homes promptly at satisfactory prices, the costs
associated with remarketing the foreclosed homes can be largely recovered. There
can be no assurance that the Company's future results with respect to the payoff
and resale of repossessed homes will be consistent with its past experience. See
Note 5 to the Consolidated Financial Statements in the Company's Annual Report
to Shareholders.

INSURANCE OPERATIONS. The Company acts as agent on physical damage, family
protection, and home buyer protection plan insurance policies written by
unaffiliated insurance companies (ceding companies) for purchasers of its
manufactured homes. During the fiscal year ended June 30, 1999, the Company
acted as the agent on physical damage, family protection, and home buyer
protection policies on approximately 69%, 54%, and 76%, respectively, of Company
retail sales. Physical damage and home buyer protection plan policies issued
through the Company's agency are reinsured through Vanderbilt Property and
Casualty Insurance Co., LTD (VPAC), a wholly-owned subsidiary of the Company.

The family protection insurance policies issued through the Company's agency are
reinsured through Vanderbilt Life and Casualty Insurance Co., LTD, (VLAC),
Midland States Life Insurance Company (MSLC) and Eastern States Life Insurance
Company (ESLC), which are majority-owned subsidiaries of the Company.



                                       8
<PAGE>   9


MANUFACTURED HOUSING COMMUNITIES

The Company owns and operates 75 manufactured home communities in 12 states.
These communities provide attractive living environments to residents leasing
sites for manufactured homes, many of which are built and sold by the Company.
In addition, these communities also lease sites to residents who already own
their homes. Some communities also lease or rent Company-owned manufactured
homes and the sites.

In fiscal 1999 the Communities group purchased or developed 383 home sites in 4
communities and added 361 sites at existing locations, bringing total sites
owned to 19,708 at June 30, 1999, a 4% increase from the prior year. See "Item
2. Properties." Communities' overall revenues were up 11.5% in 1999. Rental
revenues rose 18.8% and sales increased 2.5%. The following table lists the
number of community sites owned and the aggregate occupancy rate at the end of
the last three fiscal years:

<TABLE>
<CAPTION>
                                        JUNE 30,
                          1999            1998            1997
                         ------          ------          ------
<S>                      <C>             <C>             <C>
Home sites owned         19,708          18,964          17,797
Occupancy rate               73%             72%             70%
</TABLE>

REGULATION

The Company's manufactured homes are subject to a number of federal, state and
local laws. Construction of manufactured housing is governed by the National
Mobile Home Construction and Safety Standards Act of 1974. In 1976, the
Department of Housing and Urban Development (HUD) issued regulations under this
Act establishing comprehensive national construction standards. The HUD
regulations cover all aspects of manufactured home construction, including
structural integrity, fire safety, wind loads and thermal protection. The
Company's manufacturing facilities and the plans and specifications for its
manufactured homes have been approved by a HUD-designated inspection agency. A
HUD-approved organization regularly inspects the Company's manufactured homes
for compliance during construction. Failure to comply with the HUD regulations
could expose the Company to a wide variety of sanctions, including closing the
Company's plants. The Company believes the homes it manufactures comply with all
present HUD requirements. In addition, certain components of manufactured homes
are subject to regulation by the Consumer Product Safety Commission which is
empowered, in certain circumstances, to ban the use of component materials
believed to be hazardous to health and to require the manufacturer to repair
defects in components in its homes. In February 1983, the Federal Trade
Commission adopted regulations requiring disclosure of a manufactured home's
insulation specifications.

A variety of laws affect the sale of manufactured homes on credit by the
Company. The Federal Consumer Credit Protection Act (Truth-in-Lending) and
Regulation Z (issued by the Board of Governors of the Federal Reserve System)
require written disclosure of information relative to such credit sales,
including the amount of the annual percentage rate and the finance charge. The
Federal Fair Credit Reporting Act also requires disclosure of certain
information used as a basis to deny credit. The Federal Equal Credit Opportunity
Act and Regulation B (issued by the Board of Governors of the Federal Reserve
System) prohibit discrimination against any credit applicant based on sex,
marital status, race, color, religion, national origin, age (provided the
applicant has the capacity to contract), receipt of income from any public
assistance program or the good faith exercise by the applicant of any right
under the Consumer Credit Protection Act. Regulation B establishes
administrative requirements for compliance with the Equal Credit Opportunity Act
and, among other things, requires the Company to provide a customer whose credit
request has been denied with a statement of reasons for the denial. The Federal
Trade Commission has issued or proposed various Trade Regulation Rules dealing
with unfair credit practices, collection efforts, preservation of consumers'
claims and defenses and the like. Installment sales contracts eligible for
inclusion in the GNMA Program are subject to credit underwriting requirements of
the FHA or the VA.

The movement and use of the Company's manufactured homes are subject to highway
use laws, ordinances and regulations of various federal, state and local
authorities. Such regulations may prescribe size and road use limitations and
impose lower than normal speed limits and various other requirements. The
Company's manufactured homes and its development of manufactured housing
communities are also subject to local zoning and housing regulations.





                                       9
<PAGE>   10

The Company is subject to the Magnuson-Moss Warranty Improvement Act which
regulates the descriptions of warranties on products. The description and
substance of the Company's warranties are also subject to a variety of state
laws and regulations. Insurance agency activities are subject to state insurance
laws and regulations as determined by the particular insurance commissioner for
each state in accordance with the McCarran-Ferguson Act. Sales practices are
governed at both the federal and state level through various consumer protection
trade practices and public accommodation laws and regulations.

VPAC and VLAC are subject to insurance and other regulations of the British
Virgin Islands. MSLC and ESLC are subject to insurance and other regulations of
the Turks and Caicos Islands.

COMPETITION

The manufactured housing industry is highly competitive at the manufacturing,
retail and finance levels in terms of price, service, delivery capabilities and
product performance. There are many firms in direct competition with the
Company. The Company believes it has a competitive advantage over firms which do
not have manufacturing, retailing and financing capabilities. Since the
Company's homes are a form of low-cost housing, they compete with other forms of
such housing including apartments and conventionally-built and prefabricated
homes. Some of the Company's competitors are larger and have significant
financial resources while other competitors are quite small in relation to the
size of the Company. The capital requirements for entry into both the
manufacturing and retail segments are relatively small, with financing available
to them. The Company is not able to estimate the total number of competitors in
its marketing area.

EMPLOYEES

As of June 30, 1999, the Company employed 7,292 persons. Of these, 2,028 were
employed in retail sales, 4,169 in manufacturing, 565 in financial services, 449
in communities and 81 in executive and administrative positions. The Company
does not have any collective bargaining agreements and considers its employee
relations to be good.

ITEM 2. PROPERTIES.

The Company's Financial Services operations and executive offices are located
near Knoxville, Tennessee in a wholly-owned, two-story building with 135,000
square feet of space. The following table sets forth the properties which the
Company uses for its manufacturing operations and locations of its manufactured
housing communities. All of the buildings used for manufacturing operations are
constructed of fabricated metal on a concrete slab.

LOCATION OF PROPERTY

<TABLE>
<CAPTION>
MANUFACTURING OPERATIONS      APPROXIMATE         MANUFACTURING OPERATIONS      APPROXIMATE
                              SQUARE FEET                                       SQUARE FEET
<S>                           <C>                 <C>                           <C>
Owned by company                                  Owned by company

  Arizona                                           Tennessee (continued)
           El Mirage            123,000                      Rutledge                 87,000
  Georgia                                                    Bean Station #1         114,000
           Waycross             100,000                      Bean Station #2         137,000
  North Carolina                                             Andersonville           128,000
           Henderson            112,000                      White Pine              137,000
           Oxford                92,000             Texas
           Richfield            194,000                      Waco #1                 148,000
  Tennessee                                                  Waco #2                  99,000
           Maynardville         110,000                      Bonham                  117,000
           Savannah #1          104,000                      Sulphur Springs         113,000
           Savannah #2          109,000           Leased
           Ardmore              100,000             Halls, Tennessee                  63,000
</TABLE>




                                       10
<PAGE>   11

<TABLE>
<CAPTION>
COMMUNITIES                      APPROXIMATE      COMMUNITIES                      APPROXIMATE
                                   ACRES                                             ACRES

<S>                           <C>                 <C>                           <C>
Owned by company                                  Owned by company

  Arizona                                           Tennessee
           El Mirage                  35                     Farragut                 23
           Glendale                   14                     Knoxville (3)           147
           Phoenix                    47                     LaVergne                 76
  Florida                                                    Millington               29
           Gainesville (2)           132                     Morristown               12
           Jacksonville (5)          330                     Maryville (2)            67
           Kissimmee                  41                     Powell                   23
           Mulberry (2)               91                     Rockford                 13
           Princeton                  37                     Sevierville             115
           Tallahassee                39                     Smyrna                   26
  Georgia                                                    Tullahoma                18
           Douglasville (2)           97            Texas
  Iowa                                                       Arlington                39
           Carter Lake                41                     Dallas (3)              130
  Michigan                                                   Denton (3)              201
           Kalamazoo                 126                     Fort Worth (4)          154
  Missouri                                                   Flower Mound             18
           Independence               90                     Greenville               36
  North Carolina                                             Houston (3)             153
           Greensboro                 83                     Humble                   55
  Oklahoma                                                   Little Elm               86
           Edmond                     37                     Pearland                 45
           Enid                       20                     San Angelo               90
           Lawton                     38                     San Antonio (5)         240
           Midwest City               25                     Schertz                  71
           Norman                     44                     Wylie (2)               179
           Oklahoma City (2)         116            Virginia
  South Carolina                                             Evington                 70
           Columbia                   97                     Blacksburg               38
           Florence (2)               97
</TABLE>

The Company-owned retail centers are three to four acre sites with a special
manufactured office unit serving as the sales office. The remainder of the
retail center site is devoted to the display of homes. Of the 306 retail
centers, 145 are owned and 161 occupy leased property. The Company does not
believe that any individual retail sales center property is material to its
overall business.

All of the properties described above are well maintained and suitable for the
purposes for which they are being used. The Company believes that its properties
are adequate for its near-term needs.

ITEM 3.  LEGAL PROCEEDINGS.

No material legal proceedings are pending other than routine litigation
incidental to the business of the Company. The Company believes that such
proceedings will not have any material adverse effect on it or its operations.

ITEM 4.  SUBMISSION OF MATTERS TO A VOTE OF SHAREHOLDERS.

No matters were submitted to shareholders during the last quarter of the fiscal
year.



                                       11
<PAGE>   12


                                     PART II

ITEM 5. MARKET FOR THE REGISTRANT'S COMMON EQUITY AND RELATED STOCKHOLDER
        MATTERS.

(a) The Company's Common Stock is traded on the New York Stock Exchange. The
following table sets forth, for fiscal years 1999 and 1998, respectively, the
range of high and low closing sale prices as reported by the New York Stock
Exchange, Inc.

<TABLE>
<CAPTION>
                            Fiscal 1999           Fiscal 1998
                            -----------           -----------
       Quarter Ended      High        Low       High        Low

<S>                    <C>        <C>        <C>        <C>
         September     $   16.35  $   12.35  $   15.00  $   11.40
         December          13.81      10.80      15.55      12.60
         March             15.19      10.69      17.05      13.00
         June              13.25      10.69      17.90      13.65
</TABLE>

(b) As of August 31, 1999, there were 12,041 holders of record (approximately
62,000 beneficial holders) of the Company's Common Stock.

(c) It is the policy of the Board of Directors of the Company to reinvest
substantially all earnings in the business. The Board of Directors initiated the
payment of cash dividends at the November 9, 1994 shareholders meeting of $.02
per share per quarter, amounting to $0.016 per share on a split-adjusted basis
following the December 1998 stock split. Future dividend policy will depend on
the Company's earnings, capital requirements, financial condition and other
factors considered relevant by the Board of Directors. Additionally, certain of
the Company's financing agreements have various covenants that restrict payments
which may be made for dividends and other stock transactions.

The following portions of the Company's 1999 Annual Report to Shareholders are
incorporated herein by reference (page number references are to Annual Report):

ITEM 6. SELECTED FINANCIAL DATA.

Eleven Year Review on page 12.

ITEM 7. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS
        OF OPERATIONS.

Management's Discussion and Analysis of Financial Condition and Results of
Operations on pages 13-15.

ITEM 7A. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK.

Market Risk on page 14.

ITEM 8. FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA.

 - Quarterly Results (unaudited) on page 12.
 - Consolidated Balance Sheets on page 16.
 - Report of Independent Accountants on page 16.
 - Consolidated Statements of Income on page 17.
 - Consolidated Statements of Shareholders' Equity on page 17.
 - Consolidated Statements of Cash Flows on page 18.
 - Notes to the Consolidated Financial Statements on pages 19-24.

ITEM 9. CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS ON ACCOUNTING AND
        FINANCIAL DISCLOSURE.

Not applicable.



                                       12
<PAGE>   13


                                    PART III

ITEM 10. DIRECTORS AND EXECUTIVE OFFICERS OF THE REGISTRANT.

EXECUTIVE OFFICERS OF THE COMPANY

<TABLE>
<CAPTION>
Name                        Age     Position
<S>                         <C>     <C>
Kevin T. Clayton            36      Chief Executive Officer, President, and President, Financial Services (a)

David M. Booth              46      Executive Vice President and President, Retail Group (b)

Richard D. Strachan         57      Executive Vice President and President, Manufacturing Group (c)

Allen Morgan                52      Vice President and General Manager, Communities (d)

Amber W. Krupacs            35      Vice President Finance (e)

Greg A. Hamilton            41      Vice President and Controller (f)
</TABLE>

(a) Mr. Clayton has been President of Financial Services since 1995. Prior to
that time, he served in various management positions with the Company. In August
1997, he was named President and Chief Operating Officer of the Company. In July
1999, he was named Chief Executive Officer.

(b) Mr. Booth has been Executive Vice President of the Company since 1997 and
President of Retail since 1995. Prior to that time, he served as Executive Vice
President of Retail and in other management positions with the Company.

(c) Prior to joining the Company in 1994, Mr. Strachan was President and Chief
Operating Officer of the Visador Company from 1989 to 1994. He was named Vice
President of the Company and President of the Manufacturing Group in August
1997. In August 1998, he was named Executive Vice President of the Company.

(d) Prior to joining the Company in 1998, as General Manager of the Communities
Group, Mr. Morgan was Superintendent of Knox County, Tennessee Schools from 1992
to 1998. In September 1999, he was named Vice President of the Company.

(e) In August 1998, Ms. Krupacs was named Vice President Finance. She joined the
Company in December 1993 as Tax Manager. From August 1998 through August 1999,
she served as Secretary.

(f) Mr. Hamilton joined the Company in February 1997 as Corporate Controller and
was named Vice President and Controller of the Company in August 1998. From 1984
to 1997, he served in various finance and accounting positions with Philips
Consumer Electronics Company.

The Company's executive officers serve at the pleasure of the Board of
Directors.

All other required information is incorporated by reference to the Company's
Proxy Statement under the heading ELECTION OF DIRECTORS.

ITEM 11. EXECUTIVE COMPENSATION.

Incorporated by reference to the Company's Proxy Statement under the heading
COMPENSATION OF MANAGEMENT TABLE.

ITEM 12. SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND MANAGEMENT.

Incorporated by reference to the Company's Proxy Statement under the headings
ELECTION OF DIRECTORS and PRINCIPAL SHAREHOLDER THEREOF; SECURITY OWNERSHIP OF
MANAGEMENT.

ITEM 13. CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS.

Incorporated by reference to the Company's Proxy Statement.



                                       13
<PAGE>   14


                                     PART IV

ITEM 14. EXHIBITS, FINANCIAL STATEMENT SCHEDULES, AND REPORTS ON FORM 8-K.

(a)  The following documents are filed as part of this report:

     1.   Financial Statements: (Included in Annual Report - Exhibit 13).

               The following Consolidated Financial Statements of Clayton Homes,
               Inc. and its subsidiaries included in Part II, Item 8 are
               incorporated by reference to the 1999 Annual Report to
               Shareholders for the year ended June 30, 1999.

               Report of Independent Accountants.

               Consolidated Balance Sheets - June 30, 1999 and 1998.

               Consolidated Statements of Income - years ended June 30, 1999,
               1998 and 1997.

               Consolidated Statements of Shareholders' Equity - years ended
               June 30, 1999, 1998 and 1997.

               Consolidated Statements of Cash Flows - years ended June 30,
               1999, 1998 and 1997.

               Notes to the Consolidated Financial Statements.

     3.   Exhibits:

          3.   (a)  Restated charter as amended. (F)

               (b)  Bylaws. (H)

          4.   (a)  Specimen stock certificates. (H)

               (b)  The Company agrees to furnish to the Commission, upon
                    request, instruments relating to the long term debt of the
                    Company or its subsidiaries.

          10.  (a)  Lease Agreement, dated June 29, 1972, as amended,  between
                    Clayton Homes, Inc. and Dean Planters  Warehouse, Inc. (A)
                    (subsequently assigned to CLF, a limited partnership which
                    includes a related party).

              *(b)  Clayton Homes, Inc. 1983 Stock Option Plan. (A)

              *(c)  Clayton Homes, Inc. 1985 Stock Option Plan. (C)

              *(d)  1991 Employees Stock Option Plan. (D)

              *(e)  Clayton Homes, Inc. 1997 Employees Stock Incentive Plan. (G)

              *(f)  Director's Equity Plan. (H)

              *(g)  Director's Equity Plan. (H)

              *(h)  Director's Equity Plan. (I)

              *(i)  Director's Equity Plan. (E)

              *(j)  1996 Outside Directors Equity Plan. (F)




                                       14
<PAGE>   15

          13.  Annual Report to Shareholders for year ended June 30, 1999. (B)

          21.  List of Subsidiaries of the Registrant (filed herewith).

          23.  Consent of independent accountants (filed herewith).

          27.  Financial Data Schedule (for SEC use only).

----------

(A)  Filed as Exhibits to Registration Statement on Form S-1 (SEC File No.
     2-83705) and incorporated by reference thereto.

(B)  For the information of the Commission only, except to the extent of
     portions specifically incorporated by reference.

(C)  Filed with Registration Statement on Form S-8 (SEC File No. 33-7156) and
     incorporated by reference thereto.

(D)  Filed with Registration Statement on Form S-8 (SEC File No. 333-83565) and
     incorporated by reference thereto.

(E)  Filed with the Company's Proxy Statement for the Annual Meeting of
     Shareholders held November 9, 1994, and incorporated by reference thereto.

(F)  Filed with the Company's Proxy Statement for the Annual Meeting of
     Shareholders held November 14, 1996, and incorporated by reference thereto.

(G)  Filed with the Company's Proxy Statement for the Annual Meeting of
     Shareholders held November 12, 1997, and incorporated by reference thereto.

(H)  Filed with the Company's Form 10K for the fiscal year ended June 30, 1998,
     and incorporated by reference thereto.

(I)  Filed in electronic format only. The Company will provide full written
     copies of the exhibits to any eligible shareholder who may request them.
     Request for copies should be mailed to Clayton Homes, Inc., Attn Investor
     Relations, Box 15169, Knoxville, TN 37901.

 *   Management and Director's Compensation plans.

----------

(b)  Reports on Form 8-K.
     Clayton Homes, Inc./Vanderbilt Mortgage & Finance, Inc. Senior Subordinate
     Pass-Through Certificates Series 1998. Filed May 21, 1999, and May 25,
     1999.



                                       15
<PAGE>   16


                                   SIGNATURES

Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange
Act of 1934, the registrant has duly caused this report to be signed on its
behalf by the undersigned, thereunto duly authorized, in the City of Alcoa,
State of Tennessee, on September 20, 1999.

                                        CLAYTON HOMES, INC.

                                        By: /s/ Kevin T. Clayton
                                            ------------------------------------
                                            Kevin T. Clayton
                                            Chief Executive Officer, President
                                            and President, Financial Services

Pursuant to the requirements of the Securities Exchange Act of 1934, this report
has been signed by the following persons in the capacities and on the dates
indicated.

<TABLE>
<S>                                   <C>                      <C>
/s/ James L. Clayton                  September 20, 1999       Chairman of the Board
------------------------------------
James L. Clayton


/s/ Kevin T. Clayton                  September 20, 1999       Chief Executive Officer, President
------------------------------------                           and President, Financial Services
Kevin T. Clayton                                               (Principal Executive Officer)



/s/ Amber W. Krupacs                  September 20, 1999       Vice President Finance
------------------------------------
Amber W. Krupacs


/s/ Greg A. Hamilton                  September 20, 1999       Vice President and Controller
------------------------------------
Greg A. Hamilton


/s/ B. Joe Clayton                    September 20, 1999       Director
------------------------------------
B. Joe Clayton


/s/ Dan W. Evins                      September 20, 1999       Director
------------------------------------
Dan W. Evins


/s/ Wilma H. Jordan                   September 20, 1999       Director
------------------------------------
Wilma H. Jordan


/s/ John J. Kalec                     September 20, 1999       Director
------------------------------------
John J. Kalec


/s/ Thomas N. McAdams                 September 20, 1999       Director
------------------------------------
Thomas N. McAdams


/s/ C. Warren Neel                    September 20, 1999       Director
------------------------------------
C. Warren Neel
</TABLE>




                                       16