The present invention relates to a method of coating a polyurethane pultrusion composite material, comprising: a) preparing a polyurethane pultrusion composite material by a polyurethane pultrusion process, the polyurethane pultrusion process comprising: impregnating a fiber reinforcing material with polyurethane resin, and then curing the impregnated fiber reinforcing material in a mold to provide a polyurethane pultrusion composite material; and b) drawing the polyurethane pultrusion composite material to leave the mold, and then on-line applying waterborne coating(s) to the polyurethane pultrusion composite material at a temperature ranging from 30 to 90° C. The method according to the present invention can achieve a good coating to the polyurethane pultrusion composite material.