Crude oil spills from offshore oil fields will cause serious pollution to the marine ecological environment. Many 3D porous materials have been used for oil–water separation, but they cannot be widely used due to complex preparation processes and expensive preparation costs. Here, a facile and cheap approach to disperse expanded graphite (EG), stearic acid, and Fe3O4 magnetic nanoparticles on the skeleton surface of polyurethane (PU) sponge to prepare the magnetic and hydrophobic composite polyurethane sponge for oil–water separation. The results show that the composite PU sponge had a strong oil absorption capacity for various oils, the oil adsorption capacities has reached 32–40 g/g, and it has become more hydrophobic. The addition of Fe3O4 magnetic nanoparticles endowed the sponge with magnetic responsivity, and the composite PU sponge still had a strong oil adsorption capacity after several adsorbing-squeezing cycles. The magnetic and hydrophobic composite polyurethane sponge is a very promising material for practical oil adsorption and oil–water separation.