Using epoxy resin (EP), a thermosetting polymer, as a neutron shielding material in nuclear facilities has become increasingly attractive because it is lightweight and has an excellent durability over neutron irradiation. However, it suffers from drawbacks such as reduced mechanical strength when mixed with functional fillers to improve the neutron shielding properties. In order to solve the issue, in this article, EP/gadolinium metal‐organic framework (Gd‐MOF) composites were successfully prepared, affording a new structural and functional composite with high thermal neutron shielding ability as well as good mechanical property. The shore hardness and Young's modulus of MOF/EP composites were increased remarkably compared with neat EP. Meanwhile, results indicated that the thermal performance of Gd‐MOF/EP composites was obviously increased with the addition of MOF fillers. The proposed mechanism of thermal stability improvement may provide deeper understanding of the structure‐activity relationship in thermosetting resin‐MOF composites for radiation protection application and other relevant academic research.