Rigid polyurethane foams (RPUFs) typically exhibit low thermal inertia, resulting in short ignition times and rapid flame spread. In this study, the fire phenomena of RPUFs were investigated using a multi-methodological approach to gain detailed insight into the fire behaviour of pentane- and water-blown polyurethane (PUR) as well as pentane-blown polyisocyanurate polyurethane (PIR) foams with densities ranging from 30 to 100 kg/m3. Thermophysical properties were studied using thermogravimetry (TG); flammability and fire behaviour were investigated by means of the limiting oxygen index (LOI) and a cone calorimeter. Temperature development in burning cone calorimeter specimens was monitored with thermocouples inside the foam samples and visual investigation of quenched specimens’ cross sections gave insight into the morphological changes during burning. A comprehensive investigation is presented, illuminating the processes taking place during foam combustion. Cone calorimeter tests revealed that in-depth absorption of radiation is a significant factor in estimating the time to ignition. Cross sections examined with an electron scanning microscope (SEM) revealed a pyrolysis front with an intact foam structure underneath, and temperature measurement inside burning specimens indicated that, as foam density increased, their burning behaviour shifted towards that of solid materials. The superior fire performance of PIR foams was found to be based on the cellular structure, which is retained in the residue to some extent.