This paper presents a novel process for the fabrication of pultruded polyurethane (PU) composites. The effects of the processing parameters on the mechanical properties (flexural strength and flexural modulus, etc.) and thermal properties (HDT) of the fibre reinforced PU composites by pultrusion have been studied. The processing parameters investigated include pulling rate (in-line speed), die temperature, filler type and content, and post-cure time and temperature. Results show that the composites possessed various optimum pulling rates at different die temperatures. On the basis of the DSC diagram, the swelling ratio, the mechanical properties and the thermal properties of composites, the optimum die temperature can be determined. It is found that the mechanical and thermal properties increase with filler content for various types of filler. The mechanical and thermal properties increase at a suitable post-cure temperature and time. Furthermore, the properties which decreased due to the degradation of composite materials for a long post-cure time will be discussed.