In order to further understand the shape memory mechanism of a silicon dioxide/shape memory polyurethane (SiO2/SMPU) composite, the thermodynamic properties and shape memory behaviors of prepared SiO2/SMPU were characterized. Dynamic changes in the molecular orientation and interphase structures of SiO2/SMPU during a shape memory cycle were then discussed according to the small angle X-ray scattering theory, Guinier’s law, Porod approximation, and fractal dimension theorem. In this paper, a dynamic mechanical analyzer (DMA) helped to determine the glass transition start temperature (Tg) by taking the onset point of the sigmoidal change in the storage modulus, while transition temperature (Ttrans) was defined by the peak of tan δ, then the test and the calculated results indicated that the Tg of SiO2/SMPU was 50.4 °C, and the Ttrans of SiO2/SMPU was 72.18 °C. SiO2/SMPU showed good shape memory performance. The programmed SiO2/SMPU showed quite obvious microphase separation and molecular orientation. Large-size sheets and long-period structures were formed in the programmed SiO2/SMPU, which increases the electron density difference. Furthermore, some hard segments had been rearranged, and their gyration radii decreased. In addition, several defects formed at the interfaces of SiO2/SMPU, which caused the generation of space charges, thus leading to local electron density fluctuations. The blurred interphase structure and the intermediate layer formed in the programmed SiO2/SMPU and there was evident crystal damage and chemical bond breakage in the recovered SiO2/SMPU. Finally, the original and recovered SiO2/SMPU samples belong to the surface fractal system, but the programmed sample belongs to the mass fractal and reforms two-phase structures. This study provides an insight into the shape memory mechanism of the SiO2/SMPU composite.