Well-dispersed and long-term stable carbon nanotubes/polyol dispersions were prepared by a mechanochemical approach with the aid of dispersing agent. Polyurethane (PU)–carbon nanotube nanocomposites were prepared by further in situ polymerization. Multi-walled carbon nanotubes (MWNT) can be dispersed individually. Fourier transform infrared (FTIR) spectra suggested that the addition of carbon nanotubes improved the degree of phase separation of polyurethane. Dynamic mechanical analysis (DMA) suggested that glass transition temperature (T_g) of polyurethane decreased with increasing carbon nanotube content slightly. Tensile test suggested that MWNT is more helpful to improve the modulus than single-walled carbon nanotube (SWNT), which is more favourable to improve the elongation of polyurethane. The different reinforcing effects of MWNT and SWNT on PU were correlated to the shearing thinning exponent and the shape factor of carbon nanotubes in polyol dispersion. Raman shift of SWNTs can reflect the dispersion state of SWNT in polyol or in PU, and the interaction between polymer and SWNT. Both SWNT and MWNT can improve the thermal stability of polyurethane and thermal conductivity.