In this study, a polymer blend consisting of thermoplastic polyurethane and polycaprolactone, which was used as the self-healing matrix, was prepared via a solution casting method. Cellulose nanocrystals (CNCs) were then incorporated to enhance the interfacial compatibility of the multi-material and maintain its self-healing ability via the three-dimension printing method. The effects of the CNCs on the chemical structure, mechanical, and thermal properties of the polymer composites were investigated. The results show that the composites with CNCs exhibit excellent tensile and thermal properties, and a high interfacial compatibility. Specifically, the blend containing 1% of CNCs possesses excellent mechanical properties, as its tensile strength of 31 MPa and elongation at break of 1600% show. Further analyses on the reinforced mechanism of such mixture were carried out by using molecular dynamics simulations. The CNC-reinforced composites maintain their good self-healing properties and function for a minimum of three cycles. Their superior thermal stability, mechanical, and self-healing properties, as well as the low cost of the raw materials, and the simple manufacturing process make these blends ideal for surface protection coatings, sensors, and healthcare materials applications.