Damping material performance influences the efficacy of vibration and noise reduction. However, traditional damping materials often have low damping peaks or narrow damping temperature ranges. In this study, a series of polyurethane (PU)/poly(ethylene methacrylate) (PEMA) composites were synthesised, in which the PU hard segments were varied using toluene diisocyanate (TDI), diphenylmethane diisocyanate (MDI), isophorone diisocyanate (IPDI), and hexamethylene diisocyanate. The soft segments comprised tetrahydrofuran homopolymer glycol. The influence of the hard-segment structure on the properties of the PU/PEMA composites was investigated by infrared spectroscopy, thermogravimetric analysis, dynamic mechanical thermal analysis, and other experimental methods. The performance mechanism was explored from a molecular perspective via integration with molecular dynamics simulations. The PU/PEMA material with IPDI hard segments comprised numerous microphase-separated structures and exhibited greater free volume, fuller molecular-chain movement, and the highest damping performance, with a loss factor of 0.56. The PU/PEMA composites synthesised with TDI and MDI hard segments exhibited better compatibility, with the MDI-PU/PEMA system exhibiting a higher hydrogen-bonding force. This material also exhibited a higher thermal stability, with an initial breakdown temperature of 287.87 °C. This study provides a basis for regulating and optimising the performance of PU-based damping materials.