In this study, thermal and water responsive shape memory nanocomposite filaments consisting of thermal responsive shape memory polyurethane (SMPU) and cellulose nanowhiskers (CNWs) with concentrations ranging from 5 to 20 wt% were produced by wet spinning process. Thermal and water responsive shape memory performances of the filaments were investigated by a mechanical-thermo-aqueous programming test plan including different temperature and water stimulation conditions. The effect of CNW concentration on morphology, crystallinity, mechanical, thermal, and thermo-mechanical properties was determined. According to results, glass transition temperature (Tg) of the spun filaments decreased with CNW concentration with values ranging between 38.53–36.15 °C and 39.15 °C for nanocomposite and neat SMPU filaments in turn. All filaments, especially the one produced with 20 wt% CNW showed excellent shape memory performance having a fixity ratio of 86.67% and recovery ratio of 100% (85% of which belonged to water responsiveness). The mentioned good performance can be attributed to the thermal responsive performance originally existing in SMPU and simultaneous water responsiveness coming from percolation network created by CNWs having reversible hydrogen bonds with water molecules. Moreover, the nanocomposite filaments displayed both good mechanical and thermal properties showing their potential for repeated use without any significant change in shape memory performance under wet and dry states, indicating their good potential for smart textile applications.