A compressive split Hopkinson pressure bar (SHPB) was used to investigate the dynamic mechanical behavior of graphene (GR) reinforced polyurethane (PU) composites (GR/PU) at high strain rates ranging from approximately 1500 s−1 to 5000 s−1. Four types of GR/PU composites with different GR contents: 0.25% GR, 0.5% GR, 0.75% GR, and 1% GR were prepared by the solution mixing method and divided into two groups of unheated and postheated specimens. Experimental results show that the GR/PU composite is a strong strain rate dependent material, especially in the high strain rate regime of 3000 s−1–5000 s−1. The dynamic mechanical properties of GR/PU composite in terms of plateau stress, peak stress, and peak load carrying capacity are better than that of pristine PU at most of the applied strain rates. Among the four different GR concentrations used, the 0.5 wt.%-GR specimen shows the highest peak stress, and the 1 wt.% GR specimen has the highest plateau stress; while no significant change in peak strain with changing GR weight fraction was observed. Compared to unheated specimens, the plateau stress, peak stress, and peak strain of postheated specimens are significantly higher.