The development of flexible, lightweight, and thin high-performance electromagnetic interference shielding materials is urgently needed for the protection of humans, the environment, and electronic devices against electromagnetic radiation. To achieve this, the spinel ferrite nanoparticles CoFeO (CZ1), CoZnFeO (CZ2), and CoZnFeO (CZ3) were prepared by the sonochemical synthesis method. Further, these prepared spinel ferrite nanoparticles and reduced graphene oxide (rGO) were embedded in a thermoplastic polyurethane (TPU) matrix. The maximum electromagnetic interference (EMI) total shielding effectiveness (SE) values in the frequency range 8.2-12.4 GHz of these nanocomposites with a thickness of only 0.8 mm were 48.3, 61.8, and 67.8 dB for CZ1-rGO-TPU, CZ2-rGO-TPU, and CZ3-rGO-TPU, respectively. The high-performance electromagnetic interference shielding characteristics of the CZ3-rGO-TPU nanocomposite stem from dipole and interfacial polarization, conduction loss, multiple scattering, eddy current effect, natural resonance, high attenuation constant, and impedance matching. The optimized CZ3-rGO-TPU nanocomposite can be a potential candidate as a lightweight, flexible, thin, and high-performance electromagnetic interference shielding material.