A melt blending process was employed to prepare nano-composites based on thermoplastic polyurethane (TPU) and multi-walled carbon nanotubes (MWNT). The content of MWNT filled in TPU was increased till 40phr (parts per hundreds of rubber). Scanning electron microscope (SEM) and transmission electron microscope (TEM) showed that the unmodified MWNT were dispersed uniformly in the TPU matrix beyond expectation. Dynamic mechanical thermal analysis (DMTA) test demonstrated that the nano-composites possessed greatly increased modulus, and the flowing temperature moved to higher temperature with increasing MWNT content. Moreover, the nano-composites exhibited improved wear resistance, evidently increased thermal conductivity, and prominently raised electrical conductivity that might mean the TPU/MWNT nano-composites have potential application as multi-functional materials.