Thermo-mechanical and mechanical properties of Magnesia-Carbon (MgO–C) refractories are of great importance in industrial furnace applications and are greatly influenced by the amount of carbon in the MgO Matrix. In this research work, the effect of exfoliated graphite nanosheets (EGS) content on mechanical behavior and thermal shock resistance of MgO-based refractories was examined. MgO nanoparticles were synthesized by the co-precipitation method and micro-MgO particles were used as received. EGS was added in both micro and nano-MgO in variable amounts ranging from 0.5 to 2.5 wt % to study its effect on fracture strength and thermal shock resistance. The morphology of synthesized MgO nanoparticles and the fractured surfaces of the resultant composites were analyzed by field emission scanning electron microscopy (FESEM) coupled with energy dispersive x-ray (EDX) spectroscopy, transmission electron microscopy (TEM), X-ray diffraction analysis (XRD), and compression testing. The synthesized nano-MgO and as received micro-MgO particles were found to be of spherical morphology with no impurity elements as observed by FESEM and EDX mapping. XRD analysis did not show any phase change after the sintering of the composites. The FESEM and TEM images of the fractured surfaces of MgO-EGS refractory samples displayed the fine distribution of EGS. EGS were embedded in MgO particles, enhancing the composite-refractory samples' fractured strength. Fracture strength and thermal shock resistance were increased with the increasing amount of EGS in MgO. However, the highest fracture strength and thermal shock resistance values were achieved for nano-MgO with 2.5 wt% EGS. The resulting refractory samples can be used as furnace linings having a lower carbon content and enhanced thermo-mechanical properties.