Thermoplastic polyurethane (TPU) is a multiblock copolymer that exhibits an attractive shape memory effect (SME). Its morphology consists of a soft segment (SS), which corresponds to the polyol or a long‐chain diol, while the hard segment involves the intercalation of a diisocyanate and a chain extender. Due to the distinct thermodynamic parameters of each monomer, these segments are not miscible with each other, resulting in a phase‐separated structure in their morphology. This structure is characterized by the formation of soft and hard domains (SD and HD), respectively. When incorporating 0.1 wt% of graphene nanoplatelets (GNP) or 0.1 wt% of multilayer graphene oxide (mGO) into the TPU matrix using solution casting process, a contribution to the phase separation of these domains is observed. This phenomenon becomes even more pronounced when graphene‐based nanocomposites are subjected to annealing at 110°C for 24 hours, indicating a good interaction between the GO and GNP with the HD and SS, respectively. After annealing, the nanocomposites (TPU + GNP and TPU + mGO) exhibit improved performance in SME, as evidenced by an approximately 9% increase in the shape recovery ratio compared to the nonannealed TPU. Additionally, all nanocomposites maintained a high strain during SME programming, surpassing that of pure TPU, both before and after annealing. This suggests a direct influence of the graphene‐based nanoparticles on the shape memory effect.