A composite particle with hydrated alumina deposited on the surface of magnesium borate whisker (MBW@HA) was prepared following a chemical liquid deposition method. Subsequently, dodecyl dihydrogen phosphate (DDP) was grafted onto the surface of the composite particles to synthesize an inorganic–organic hybrid (MBW@HA–DDP). The structure, morphology, and composition of MBW@HA–DDP were well characterized. The results revealed the hybrid of MBW@HA–DDP was successfully synthesized characterized by a hydrophobic surface. Subsequently, the obtained MBW@HA–DDP was incorporated into epoxy resin (EP) to fabricate flame retardant composites. The results revealed that the incorporation of MBW@HA–DDP significantly improved the fire safety of EP, for instance, the total heat release (THR) and peak heat release rate (PHRR) of the EP composite with 10-phr MBW@HA–DDP added were reduced by 28.1% and 32.0%, respectively, accompanied with lower total smoke production (TSP) and smoke production rate (SPR). The improved fire safety was due to the barrier function of MBW and HA, and the dilution effect of water vapor generated from HA. Meanwhile, the phosphorus oxoacids generated from DDP could function as catalysts and increase the degree of graphitization of the char residues, thus protecting the matrix effectively. In relation to mechanical properties, the incorporation of MBW@HA–DDP did not deteriorate the mechanical properties of EP but improved them to some extent. The results presented herein help develop a novel strategy for developing flame retardants characterized by good flame-retardant behavior and improved mechanical properties.