A process for preparing a TPU alloy material through in-situ compatibilization includes: 1) adding a premixed TPU raw material to a feeding port of a twin-screw extruder; injecting a mixture of an alloy component and a dual-active substance into the twin-screw extruder through a lateral feeding port; adding an auxiliary reagent to the TPU raw material or the mixture of the alloy component and the dual-active substance, wherein the alloy component is a polyolefin or a thermoplastic polymer material having reactivity, wherein the dual-active substance is a substance containing a group reactive with the TPU raw material and a group reactive with the alloy component, and the auxiliary reagent includes an initiator; 2) controlling a temperature of a reaction zone of the twin-screw extruder at 50° C. to 250° C., and granulating an extruded material by underwater cutting; and 3) drying the granulated product to obtain the TPU alloy material.