In this study, we report highly selective CO2 polyurethane incorporated with cured epoxy nanoparticles. PU–epoxy composite membranes were prepared via solution casting method. The obtained SEM micrographs confirmed the nano-scale distribution of epoxy particles in the polymer matrix. DSC and FTIR spectra showed different phase separation for the PU composites compared to the pure PU. The effect of epoxy nanoparticles on the gas permeability of CO2, CH4, O2 and N2 was studied at 25 °C and 10 bar. The selectivity of CO2/N2 increased from 25 for the pure PU membrane to 55.5 for the PU–EP10, while the CO2 permeability was unchanged.