This work focused on the mechanical behavior, especially creep resistance, of thermoplastic polyurethane (TPU) filled with ozone-treated multi-walled carbon nanotubes (MWCNTs). It was found that the ozone functionalization of MWCNTs could improve their dispersion and interfacial adhesion to the TPU matrix as proved by scanning electron microscope and Raman spectrometer. It finally contributed to the enhancement of Young’s modulus and yield strength of TPU/MWCNT composites. Moreover, the creep resistance and recovery of MWCNT/TPU composites revealed a significant improvement by incorporating ozone functionalized MWCNTs. The strong interaction between the modified MWCNTs and TPU matrix would enhance the interfacial bonding and facilitate the load transfer, resulting in low creep strain and unrecovered strain.