Expandable graphite (EG) is widely used in rigid polyurethane (PU) foam (RPUF) as flame retardant, however, the mechanical properties of RPUF would deteriorate with the increase of its content. To alleviate this problem, PU‐coated EG (PUEG) is prepared by coating PU on the surface of EG via interface polymerization. PUEG is characterized by FTIR, XPS, and SEM. The results show that PUEG is successfully prepared. Compared with the RPUF add with the pure EG, the compressive strength and flame retardancy of the RPUF prepared by adding 15% PUEG have been improved to varying degrees. A 15% PUEG and 20% PUEG modify RPUFs obtained both UL‐94 V‐0 rating with LOI values of 29.7% and 31.2%, respectively. The improvement in the flame retardancy and compressive strength of RPUF is due to the good interfacial compatibility between the RPUF and PU on the surface of the EG and the increased coking rate of the EG, which accelerates the formation of the thermal barrier carbon layer. The preparation process of PUEG is simple and suitable for large‐scale production.