Cellulose nanofibrils (CNF) modified polyurethane foam (PUF) has great potential as a structural insulated material in wood construction industry. In this study, PUF modified with spray-dried CNF was fabricated and the physical and mechanical performance were studied. Results showed that CNF had an impact on the foam microstructure by increasing the precursor viscosity and imposing resistant strength upon foaming. In addition, the intrinsic high mechanical strength of CNF imparted an extra resistant force against cells expansion during the foaming process and formed smaller cells which reduced the chance of creating defective cells. The mechanical performance of the foam composite was significantly improved by introducing CNF into the PUF matrix. Compared with the PUF control, the specific bending strength, specific tensile strength, and specific compression strength increased up to three-fold for the CNF modified PUF. The thermal conductivity of PUF composite was mainly influenced by the closed cell size. The introduction of CNF improved thermal insulating performance, with a decreased thermal conductivity from 0.0439 W/mK to 0.02724 W/mK.