This study aims at investigating the dynamic mechanical, dielectric and rheological properties of reinforced polyurethane (PU) nanocomposites containing hydrophilic graphene oxide (GO) and/or hydrophobic modified graphene oxide (mGO) sheets. The organic modification of GO was performed with 4,4'-methylenebis (phenyl isocyanate) (MDI) and the samples were prepared by solvent mixing. We found that addition of mGO provides a more significant increase in the dielectric permittivity as compared to the addition of GO. Scanning electron microscopy (SEM) and X-ray diffraction (XRD) spectroscopy demonstrate the more effective dispersion of thin exfoliated sheets of mGO in the PU matrix as compared to unmodified GO. This qualitative morphology observation is correlated with the quantitative results inferred from the dynamic mechanical analysis, rheology and dielectric studies. The viscoelastic Payne effect is noticed for all nanocomposites and the filler–filler and polymer–filler interactions are studied by applying the Kraus and Maier and Goritz models. The non-linear viscoelastic behavior of the PU nanocomposites is in good agreement with the Maier and Goritz model, which includes the effects of the adsorption/desorption of PU chains on the filler surface. The observed results underline the possibilities of PU composites with organically modified GO sheets in capacitor applications.