The thermal behaviour of a series of well defined segmented polyurethanes (PU) grafted with poly(methyl methacrylate) (PMMA) has been examined using differential scanning calorimetry. The grafts were located only in the poly(ε-caprolactone) (PCL) soft segments. Three annealing schedules were employed. Grafting was found to have little effect on the hard segment domains, provided the hard segments were long enough to crystallize. Phase separation of the PCL and PMMA was incomplete. A transition, which was shifted to higher temperatures as the annealing temperature increased, was assigned to the glass transition (Tg) of a PCL/PMMA mixed amorphous phase. PCL crystalline melting and a PCL Tg were observed in the polymers with a low concentration of PMMA; an event which could be assigned to the Tg of a PMMA phase was not detected in any of the samples.