Self-healable polyurethanes can be used in various fields for extended service life and reduced maintenance costs. It is generally believed that the shape memory effect is helpful for achieving a high healing efficiency. The morphological features were focused on in this study as microphase separation is one of the main factors affecting various performances of polyurethanes, including their shape memory behavior and mechanical properties. Microphase separation can be regulated by changing the content and types of the hard segments. With this in mind, polyurethanes from polycaprolactone diol, hexamethylene diisocyanate, and different chain extenders were synthesized, characterized, and designed as promising self-healing polymers. All the polyurethane specimens were equipped with a similar content of hard segments but diverse types, such as aliphatic, aromatic, and disulfide-bonded. Differential scanning calorimetry, thermogravimetric analysis, X-ray diffractometry, infrared spectroscopy, and atomic force microscopy were used to describe the microstructures of the polyurethanes, including the crystalline regions. The relationship between the microphase separation structures and material properties was focused on in this examination. Various properties, including the thermal stability, mechanical behavior, hydrophobicity, and self-healing efficiency showed significant differences due to the change in the hard segments’ structure and multiphase distribution. The aliphatic disulfide stimulated the conformation of a proper microphase separation structure (the large heterogeneous structure at physical length scales as well as a more sufficient combination of soft and hard phases), which helped to improve the healing effect as much as possible by effective wound closure and the exchange reactions of disulfide bonds.