Recently, polyurethanes (PURs) have become a very promising group of materials with considerable utilization and innovation potential. This work presents a comprehensive analysis of the changes in material properties important for PUR applications in the electrical industry due to the incorporation of magnesium oxide (MgO) nanoparticles at different weight ratios. From the results of the investigations carried out, it is evident that the incorporation of MgO improves the volume (by up to +0.5 order of magnitude) and surface (+1 order of magnitude) resistivities, reduces the dielectric losses at higher temperatures (−62%), improves the thermal stability of the material, and slows the decomposition reaction of polyurethane at specific temperatures (+30 °C). In contrast, the incorporation of MgO results in a slight decrease in the dielectric strength (−15%) and a significant decrease in the mechanical strength (−37%).