High dielectric constant (ε), thermal conductivity (TC), and breakdown strength (Eb) along with low loss flexible polymeric nanocomposites display multifunctional applications. In this work, to synergistically bolster the TC and Eb while restraining dielectric loss and leakage current in the percolating flaky copper (f‐Cu)/poly(vinylidene fluoride) (PVDF), presenting a giant ε, the core@shell structured f‐Cu@MgO (magnesium oxide) nanosheets were first created via a chemical precipitation method, then incorporated into host PVDF to explore the MgO shell’ impact on the TC and dielectric properties of the resulting nanocomposites. The introduced MgO interlayer strengthens the interfacial interactions and significantly mitigates the interfacial mismatch in both ε and conductivity between the f‐Cu and PVDF, resulting in elevated TC and Eb of the f‐Cu@MgO/PVDF in comparison to pristine f‐Cu/PVDF. Furthermore, the insulating MgO interlayer introduces deep traps and inhibits the long‐distance migration of electrons, leading to remarkably suppressed dielectric loss. More importantly, the TC and dielectric properties of nanocomposites can be optimized by tuning the MgO thickness. The fitting results via the Havriliak‐Negami equation theoretically support the MgO shell's suppression effect on charge migration and reveal the underlying polarization mechanism in the nanocomposites. The developed nanocomposites with currently high ε, Eb and TC but low loss, present promising applications in electrical power systems.