Thermoplastic polyurethane elastomer (TPU) /graphene nanosheets (GN) films were fabricated by solvent blending and a following twice press molding. Effects of GN contents on mechanical properties, thermal conductivity and thermal stability of TPU/GN films were investigated. The results show that both tensile strength and elastic modulus of the TPU/GN film reach 60.8 MPa and 10.4 MPa respectively when the mass fraction of GN is 2.0%, which are 34% and 96% higher than those of pure TPU film. TPU/GN films exhibit typical anisotropy in thermal conductivity: when the mass fraction of GN is 5.0%, the thermal conductivity of the film is increased to 1.94 W/(m·K) in the in-plane direction, while it is maintained at 0.21 W/(m·K) in the through-plane direction. The addition of GN improves the thermal stability of TPU.