Although tung oil is renewable, with an abundant production and low price in China, and it is used to synthesize different polyols for rigid polyurethane foam (RPUF), it remains a challenge to improve the properties of RPUF by redesigning the formula. Therefore, we propose four novel compounds to strengthen the properties of RPUF, such as the catalyst-free synthesis of tung oil-based polyol (PTOK), aluminum phosphate micro-capsule (AM), silica micro-capsule (SiM), and grafted epoxidized monoglyceride of tung oil on the surface of SiO2 (SiE), which were designed and introduced into the RPUF. Because of the PTOK with a catalytic function, the foaming process of some RPUF samples was catalyst-free. The results show that the incorporation of AM, SiM, and SiE, respectively, endow RPUF with a better thermal stability at a high temperature, and the T5%, Tmax1, and Tmax2 of RPUF appeared to be reduced, however, the Tmax3 and residue rate at 800 °C were improved, which may have a positive effect on the extension of the rescue time in case of fire, and the limiting oxygen index (LOI) value was increased to 22.6%. The formula, containing 25% PTOK made the RPUF environment-friendly. The results were obtained by comparing the pore size and mechanical properties of the RPUF-the AM had a better dispersion in the foam, and the foam obtained a better mechanical, thermal, and flame retardancy.