In this work, the preparation and systematic investigation of cross-linked polyurethane-epoxy (PU-EP) polymer systems are reported. The PU-EP polymers were prepared using a reaction of isocyanate (NCO)-terminated PU-prepolymer with diglycidyl ether of bisphenol A (DGEBA)-amine cooligomer. The oligomerization of DGEBA was carried out by adding furfurylamine (FA) or ethanolamine (EA), resulting in DGEBA-amine cooligomers. For the synthesis of NCO-terminated PU-prepolymer, poly(ε-caprolactone)diol (PCD) (M_n = 2 kg/mol) and 1,6-hexamethylene diisocyanate (HDI) were used. The cross-linking was achieved by adding DGEBA-amine cooligomer to PU-prepolymer, in which the obtained urethane bonds, due to the presence of free hydroxil groups in the activated DGEBA, served as netpoints. During cross-linking, ethanolamine provides an additional free hydroxyl group for the formation of a new urethane bond, while furfurylamine can serve as a thermoreversible coupling element (e.g., Diels–Alder adduct). The PU-EP networks were characterized using attenuated total reflectance Fourier-transform infrared spectroscopy (ATR-FTIR), differential scanning calorimetry (DSC), dynamical mechanical analysis (DMA) and scanning electron microscopy (SEM). The DMA curves of some PU-EPs (depending on the compositions and the synthetic method) revealed a plateau-like region above the melting temperature (T_m) of PCD, confirming the presence of a cross-linked structure. This property resulted in a shape memory (SM) behavior for these samples, which can be fine-tuned in the presence of furfurylamine through the formation of additional thermoreversible bonds (e.g., Diels–Alder adduct).