Wastewater treatment from oil, oil products and organic mixtures is a very relevant topic that can be successfully utilized to solve problems of severe environmental pollution, such as oil spills, industrial oily wastewater discharges and water treatment in the water treatment process. In this work, we have developed new superhydrophobic magnetic polyurethane (PU) sponges, functionalized with reduced graphene oxide (RGO), MgFe2O4 nanoparticles, and silicone oil AS 100 (SO), as a selective and reusable sorbent for the purification and separation of wastewater from oil and organic solvents. The surface morphology and wettability of the sponge surface were characterized by scanning electron microscopy (SEM) and a contact angle analysis system, respectively. The results showed that the obtained PU sponge PU/RGO/MgFe2O4/SO had excellent mechanical and water-repellent properties, good reusability (lasted more than 20 cycles), as well as fast (immersion time 20 s) and excellent absorption capacity (16.61–44.86 g/g), and additional good magnetic properties, which made it easy to separate the sponge from the water with a magnet. The presence of RGO in the composition of the nanomaterial improves the separating and cleaning properties of the materials and also leads to an increase in the absorption capacity of oil and various organic solvents. The synthesized PU sponge has great potential for practical applications due to its facile fabrication and excellent oil–water separation properties.