In the following study, polyurethane (PUR) composites were modified with 2 wt.% of walnut shell filler modified with selected mineral compounds–perlite, montmorillonite, and halloysite. The impact of modified walnut shell fillers on selected properties of PUR composites, such as rheological properties (dynamic viscosity, foaming behavior), mechanical properties (compressive strength, flexural strength, impact strength), dynamic-mechanical behavior (glass transition temperature, storage modulus), insulation properties (thermal conductivity), thermal characteristic (temperature of thermal decomposition stages), and flame retardant properties (e.g., ignition time, limiting oxygen index, heat peak release) was investigated. Among all modified types of PUR composites, the greatest improvement was observed for PUR composites filled with walnut shell filler functionalized with halloysite. For example, on the addition of such modified walnut shell filler, the compressive strength was enhanced by ~13%, flexural strength by ~12%, and impact strength by ~14%. Due to the functionalization of walnut shell filler with thermally stable flame retardant compounds, such modified PUR composites were characterized by higher temperatures of thermal decomposition. Most importantly, PUR composites filled with flame retardant compounds exhibited improved flame resistance characteristics-in all cases, the value of peak heat release was reduced by ~12%, while the value of total smoke release was reduced by ~23%.