The aim of this work was to obtain and evaluate the thermal properties of castor oil polyurethane composites reinforced with lignin and cellulose from sugarcane bagasse. Sugarcane bagasse was pretreated and then delignified; then, the cellulose and lignin were milled. To produce the polyurethane, the mass ratio between polyol (castor oil) and diisocyanate was set to 1.5:1.0. The matrix was reinforced with a range of cellulose and lignin concentrations. The cellulose and lignin obtained by this process were chemically characterized. The composites were analyzed through SEM micrographs of fractured surfaces and thermal analysis. The presence of lignin or cellulose fibers in the polyurethane matrix decreases the thermal stability compared with the neat matrix.