Polyurethane composite foams were prepared by adding three different types of silica materials as a filler to improve the mechanical and thermal insulation properties. The first type of filler consists of silica aerogels with high-volume pores, with the expectation of improving the thermal insulation of PU foams because silica aerogel itself has superior thermal insulation properties. Silica nanoparticle is used for the second type that has a size very similar to the pore size of silica aerogels for comparison. The last type to produce polyurethane composite foam uses a sol–gel reaction to produce polysiloxane that reacts with polyols during the urethane reaction and forming process. In particular, in the case of silica aerogels and nanoparticles, their surfaces are modified with APTES and then polymeric methylene diphenylene diisocyanate (PMDI) to increase the interaction between the polymer matrix and inorganic fillers. The polyurethane foam structure was successfully produced in all cases of composite foams. As expected, the mechanical properties and the thermal insulation effect were enhanced by the addition of silica fillers, but found to be closely related to the cell structure of polyurethane foams. The addition of small amounts of inorganic fillers improves the mechanical and thermal properties, but the higher the amount of filler, the worse they are due to the agglomeration of fillers on the cell walls. The dispersion of added inorganic fillers within the foam cells should be controlled effectively. Surface-modified silica fillers exhibit better enhancement of mechanical and thermal insulation properties.