In the present work polyurethane foams containing variable concentrations of nano-sized clay and esparto wool were prepared and studied, with the objective of developing new multi-scalar rigid foams. The addition of montmorillonite clay favoured foaming and the formation of finer and homogeneous cellular structures, resulting in foams with compressive elastic moduli and collapse stresses lower than that of the polyurethane foams. Nevertheless, a comparative analysis versus the foams’ relative density demonstrated that both properties follow one single trend for the two materials. The combination of esparto and montmorillonite further reduced the cell size of foams, at the same time promoting higher open cell contents, resulting in the foams with the lowest mechanical properties. Although no important differences in thermal conductivity were found with adding montmorillonite, its value decreasing with reducing the relative density, the incorporation of esparto led to higher thermal conductivities, independently of the relative density. The combination of esparto and montmorillonite resulted in foams with thermal conductivities halfway between the esparto-reinforced and the montmorillonite-reinforced foams, related to a higher open cell content.