Polyurethane (PU) nanocomposites were prepared through conventional and in situ methods with multiwalled carbon nanotubes (MWNTs) functionalized with poly(E-caprolactone). The thermal degradation and stability of PU-MWNT nanocomposites were investigated with nonisothermal thermogravimetry and were explained in terms of the interaction between MWNTs and PU molecules with Fourier transform infrared spectroscopy. The difference in thermal stability between the conventional and in situ nanocomposites was also compared. The thermal degradation of all the nanocomposite samples took place in two stages and followed a first-order reaction. The degradation temperature of the in situ nanocomposites was higher than that of the conventional nanocomposites with the same loading of MWNTs. The activation energy at 10% degradation and the half-life period were also higher in the in situ nanocomposites compared to the conventional nanocomposites. Such higher thermal stability of the in situ nanocomposites was ascribed to covalent bond formation between MWNTs and PU chains, which could result in better dispersion of MWNTs in the PU matrix for the in situ nanocomposites than for the conventional nanocomposites. (C) 2008 Wiley Periodicals, Inc.