Polyurethane (PU) based on an eco-friendly renewable resource, namely hydroxyl telechelic natural rubber (HTNR), was in situ prepared using one-shot polymerization with zirconium(IV) oxide (ZrO2) incorporated. The modification of HTNR, preparation of PU together with the interactions of PU and ZrO2 surfaces were examined using FTIR, ATR-FTIR, and 1H-NMR. Also, the optimal ZrO2 content in PU matrix was used to coat carbon steel and the intrinsic properties of the composites were determined. It was found that tensile strength, Young’s modulus, hardness, abrasion resistance, and thermal stability of PU/ZrO2 composites increased with ZrO2 content, particularly at 2 wt% of ZrO2, owing to the homogeneous dispersion of ZrO2 throughout the PU matrix. After coating, the PU/ZrO2 composites showed good pencil hardness, adhesive performance, gloss, and wettability on the carbon steel substrate, enabling simple coating process and cost-effectiveness.