Currently, the development of efficient and environmentally friendly flame-retardant thermoplastic polyurethane (TPU) composite materials has caused extensive research. Ammonium polyphosphate (APP) is used as a general intumescent flame retardant to improve the flame retardancy of TPU. In this paper, we developed a functionalized APP flame retardant (APP-Cu@PDA). Adding only 5 wt% of APP-Cu@PDA into TPU can significantly improve the flame-retardant’s performance of the composite material, reflected by a high LOI value of 28% with a UL-94 test of V-0 rating. Compared with pure TPU, the peak heat release rate, total heat release, peak smoke release rate, and total smoke release were reduced by 82%, 25%, 50%, and 29%, respectively. The improvements on the flame-retardant properties of the TPU/5%APP-Cu@PDA composites were due to the following explanations: Cu2+-chelated PDA has a certain catalytic effect on the carbonization process, which can promote the formation of complete carbon layers and hinder the transfer of heat and oxygen. In addition, after adding 5% APP-Cu@PDA, the tensile strength and elongation at the break of TPU composites did not decrease significantly. In summary, we developed a new flame-retardant APP-Cu@PDA, which has better flame-retardant properties than many reported TPU composites, and its preparation process is simple and environmentally friendly. This process can be applied to the industrial production of flame retardants in the future.