Three-dimensional porous materials with the hydrophobic/oleophilic surface have attracted significant interest in the fields of oil/water separation. In this paper, superhydrophobic magnetic polyurethane sponge was fabricated by the self-polymerization of dopamine to bind the Fe3O4 nanoparticles tightly on the sponge and then soaking in cheap stearic acid aqueous solution. The obtained sponge has the superhydrophobic property and good magnetic property. The surface structure, composition, and properties of the modified sponges were characterized by scanning electron microscopy, energy dispersive spectrometer, Fourier-transform infrared spectrum, and water contact angle (WCA) measurements. The as-prepared superhydrophobic magnetic sponge was able to collect a wide range of oils and organic solvents from oil–water mixture with an absorption capacity up to 16–60 times of its own weight. Under an external magnetic field, it can be guided to a designated area. In addition, combined with the vacuum system, continuous oil separation can be carried out, which is of great significance for removing a good deal of dirty oil on the water surface. Furthermore, the WCA of sponge remains above 141°, and the oil absorption is basically unchanged through repeated cyclic experiments.