Self-lubricating microcapsules containing liquid paraffin as the core material were successfully synthesized with polyurethane (PU)/silica (SiO2) as the hybrid shell material using a sol-gel process and an interfacial polymerization method. The self-lubricating microcapsules were adopted as the filling matrix, which was compounded with the PU elastomer through an in situ polymerization method to improve the self-lubricity of the PU elastomer. The self-lubricating properties of the PU composites with different mass fractions of microcapsules have been characterized by a plastic sliding friction and wear tester. The particle size of spherical microcapsules is about 540 nm and it can effectively reduce the friction coefficient and wear of PU materials. When the concentration of self-lubricating microcapsules is 1.2 wt %, the PU composite has the lowest average friction coefficient of 0.301. The friction coefficient and wear of composite materials reduce by 64.8 and 66.7% compared to those of pure PU elastomers. Meanwhile, the PU composites show better thermal stability and mechanical properties. The thermal decomposition temperature, tensile strength, and elongation at break increased by 4.4 69.1, and 30.8%, respectively, which extended the service life of the PU elastomer in special fields. Finally, the friction and wear mechanism of the PU composites was discussed with scanning electron microscopy images. It was confirmed that by virtue of the flexible structure of the microcapsule shell material and the release of core materials, the friction and wear mechanism of PU composites changes from severe fatigue wear and adhesive wear to slight adhesive wear.