Polyurethane nanocomposites incorporated with polydopamine (PDA)-coated graphene sheets (D-Graphene) were fabricated by solution blending. It is found that the interfacial PDA layers not only facilitate the dispersion of the graphene sheets in the polymer matrix, but also strengthen the stress transfer from the polymer matrix to the filler, enhancing tensile and thermo-mechanical properties of the nanocomposites and decreasing the electrical conductivity percolation threshold of the nanocomposites. Furthermore, due to the free-radical scavenger ability of PDA, the nanocomposites also show impressive ultraviolet resistance. Electromagnetic interference (EMI) shielding performance study shows that the PU/D-Graphene nanocomposite is a promising candidate for light-weight high-performance EMI shielding materials with improved microwave absorption as the dominant EMI shielding mechanism.