Thermoplastic polyurethane (TPU) foams are commonly used buffering materials due to their lightweight, high elasticity, and excellent energy absorption properties. Improving their compressive property without increase foam density is a challenge for TPU foams. Herein, graphene oxide (GO)/TPU composite foams containing micro‐sized wrinkles on the cell surface were fabricated by a novel dynamic supercritical carbon dioxide (scCO2) foaming method. The addition of GO created hydrogen bonding and physical crosslinking sites with the TPU molecules, which acted as nucleation agents to improve the cell density of the GO/TPU foams. With the increase of GO content, the mechanical properties of GO/TPU foams were significantly enhanced, and the wrinkled foams prepared via dynamic scCO2 foaming displayed superior compressive modulus, strength, energy absorption, and recoverability compared with the counterpart foams without wrinkly structure. The wrinkled GO/TPU foams with 0.5 wt% GO revealed higher expansion ratio, lower foam density, superior compressive property and energy absorption than both neat TPU and 1 wt% GO foams owing to the reinforcing effect of the wrinkly structure. This study is of great significance in the development of low‐density composite foams with enhanced compressive performance by wrinkly structures.