Coal fly ash (CFA) is the main combustion residue of fine ground coal in the process of coal-fired thermal power generation, and crude glycerol (CG) is the byproduct of biodiesel production. The novel polyurethane/CFA (PU/CFA) foam composites were prepared from CFA and CG. Two kinds of CFA, CFAI and CFAII were used as fillers for the property enhancement of PU/CFA composites, and the effects on foaming behavior and the reinforcement for the PU/CFA composites were investigated. It was found that the addition of CFA can prolong the rising time and tack-free time, and the maximum rising time and tack-free time increased to 40 s and 42 s. Meanwhile, the maximum compressive strength of PU/CFAI and PU/CFAII increased to 0.2186 MPa and 0.2284 MPa with the addition of CFA. The thermogravimetric analysis showed that the PU/CFA composites underwent three stages of thermal decomposition, and the amount of carbon residue increased from 23.11% to 67.91% with increasing CFA dosage. Moreover, the values of the limit oxygen index increased from 21.5% to 23.7% with the incorporation of CFA into the PU foam matrix, indicating that CFA improved the thermal stability and flame retardant performance of the composites. This study provided a new method for the recycling and high-value utilization of CG and CFA.