Graphene oxide (GO)@Fe3O4 nanohybrid with ferromagnetism was prepared and polyurethane-imide copolymer (PUI)/GO@Fe3O4 nanocomposite foams with gradient structure were first fabricated under a magnetic field. Fe3O4 nanoparticles intercalated into GO layers with high grafting ratio, resulting in complete exfoliation of GO in matrix. For the composite foam, the average cell size, cell wall thickness and apparent density gradually decreased along magnetic field direction, forming gradient cell structure in foam. Both mechanical property and thermal stability of foam were remarkably improved by addition of GO@Fe3O4. Compared with A region, in B region with enriched distribution of GO@Fe3O4, the compressive strength and modulus increased by 12.5 and 7.0%, respectively. The thermal degradation temperature, storage modulus, and T-g were obviously improved, indicating enhancement of thermal mechanical stability of PUI along magnetic field, revealing formation of gradient distribution of thermal mechanical property in foam, which showed potential application prospective in aerospace and defense area.