Thermal management is important for improving the safety, reliability, and service life of film capacitors operating under high-power conditions. In this study, graphene/thermoplastic polyurethane (TPU) composite films were prepared for capacitor heat dissipation. Physically modified graphene (G1) and chemically modified graphene (G2) were incorporated into TPU at loadings of 0.03, 0.06, and 0.30 wt%. The structural characteristics and chemical states of the films were investigated using X-ray diffraction (XRD), Raman spectroscopy, Fourier transform infrared spectroscopy (FT-IR), and X-ray photoelectron spectroscopy (XPS). The thermal conductivity and thermal diffusivity of the composite films were evaluated, and a numerical model was used to investigate their effect on capacitor thermal behavior. The results showed that graphene incorporation preserved the major chemical structure of the TPU matrix while modifying its structural and surface chemical characteristics. The thermal response depended on both graphene type and loading. Among the tested samples, the 0.06 wt% G1/TPU film exhibited the highest measured thermal conductivity of 0.236 W/(m∙K). The thermal diffusivity showed a nonmonotonic dependence on graphene loading, with the maximum values obtained at 0.06 wt% graphene. Numerical results indicated that the thermally conductive film improved heat-flux uniformity and reduced the temperature gradient within the capacitor model. These findings demonstrate the potential of graphene/TPU composite films as flexible thermal-interface materials for capacitor thermal management.