Among the broad class of electro-active polymers, dielectric elastomer actuators represent a rapidly growing technology for electromechanical transduction. In order to further develop this applied science, the high driving voltages currently needed must be reduced. For this purpose, one of the most widely considered approaches is based on making elastomeric composites with highly polarizable fillers in order to increase the dielectric constant while maintaining both low dielectric losses and high-mechanical compliance. In this work, multi-wall carbon nanotubes were first functionalized by grafting either acrylonitrile or diurethane monoacrylate oligomers, and then dispersed into a polyurethane matrix to make dielectric elastomer composites. The procedures for the chemical functionalization of carbon nanotubes and proper characterizations of the obtained products are provided in detail. The consequences of the use of chemically modified carbon nanotubes as a filler, in comparison to using unmodified ones, were studied in terms of dielectric, mechanical and electromechanical response. In particular, an increment of the dielectric constant was observed for all composites throughout the investigated frequency spectrum, but only in the cases of modified carbon nanotubes did the loss factor remain almost unchanged with respect to the simple matrix, indicating that conductive percolation paths did not arise in such systems. An effective improvement in the actuation strain was observed for samples loaded with functionalized carbon nanotubes. (Some figures may appear in colour only in the online journal)