In order to improve the comprehensive properties of the Cu-11.9Al-2.5Mn shape memory alloy (SMA), multilayer graphene (MLG) carried by Cu51Zr14 inoculant particles was incorporated and dispersed into this alloy through preparing the preform of the cold-pressed MLG-Cu51Zr14 composite powders. In the resultant novel MLG/Cu-Al-Mn composites, MLG in fragmented or flocculent form has a good bonding with the Cu-Al-Mn matrix. MLG can prevent the coarsening of grains of the Cu-Al-Mn SMA and cause thermal mismatch dislocations near the MLG/Cu-Al-Mn interfaces. The damping and mechanical properties of the MLG/Cu-Al-Mn composites are significantly improved. When the content of MLG reaches 0.2 wt.%, the highest room temperature damping of 0.0558, tensile strength of 801.5 MPa, elongation of 10.8%, and hardness of HV 308 can be obtained. On the basis of in-depth observation of microstructures, combined with the theory of internal friction and strengthening and toughening theories of metals, the relevant mechanisms are discussed.