CuxCo1−xFe2O4 (x = 0.33, 0.67, 1)-reduced graphene oxide (rGO)-thermoplastic polyurethane (TPU) nanocomposites exhibiting highly efficient electromagnetic interference (EMI) shielding were prepared by a melt-mixing approach using a microcompounder. Spinel ferrite Cu0.33Co0.67Fe2O4 (CuCoF1), Cu0.67Co0.33Fe2O4 (CuCoF2) and CuFe2O4 (CuF3) nanoparticles were synthesized using the sonochemical method. The CuCoF1 and CuCoF2 exhibited typical ferromagnetic features, whereas CuF3 displayed superparamagnetic characteristics. The maximum value of EMI total shielding effectiveness (SET) was noticed to be 42.9 dB, 46.2 dB, and 58.8 dB for CuCoF1-rGO-TPU, CuCoF2-rGO-TPU, and CuF3-rGO-TPU nanocomposites, respectively, at a thickness of 1 mm. The highly efficient EMI shielding performance was attributed to the good impedance matching, conductive, dielectric, and magnetic loss. The demonstrated nanocomposites are promising candidates for a lightweight, flexible, and highly efficient EMI shielding material.