The present work has been aimed to synthesize Polyurethane (PU)/Multi-Walled Carbon Nanotubes (MWCNTs) composite using a two-step method to enhance mechanical properties. In the first step, films (0.2 mm thickness) have been synthesized using a solution mixing method to disperse MWCNTs in the PU matrix. In the second step, thin films of uniformly dispersed MWCNTs in the PU matrix have been compression molded to synthesize PU/MWCNTs composite required for real mechanical applications. The two-step method has the advantages of solution mixing as well as compression molding method. The results of quasi-static nanoindentation tests indicated that in comparison to pure PU, elastic modulus and hardness have been enhanced by 124% and 53% respectively for 10 wt% PU/MWCNTs composite. Fracture resistance of PU/MWCNTs composites, with 7 wt% of MWCNTs, has been enhanced by 52% as compared to pure PU. To understand bulk behavior, nanoindentation results have been cross-verified with compression testing. Results of compressive testing shown that the modulus of composite material has been significantly improved under the influence of the increasing composition of MWCNTs. A noticeable improvement of 52% has been observed in compressive modulus of 10 wt% composite in equivalence to pure PU. The overall improvement in mechanical behavior has been attributed to the uniform dispersion of MWCNTs in the PU matrix by the two-step synthesis method.