Polystyrene (PS)/magnetite (Fe3O4) polymer nanocomposites (PNCs) are successfully synthesized by a solvent extraction method. Scanning electron microscopy reveals that the nanoparticles are well distributed in the PS matrix with 5, 10, and 20 wt% without obvious agglomeration. Fourier transform infrared spectroscopy analysis indicated that the PS/Fe3O4 PNCs are synthesized with strong interaction between PS and nanoparticles. The thermogravimetic analyzer and microscale combustion calorimetry reveal an enhanced thermal stability and reduced flammability. The differential scanning calorimetry demonstrates both glass transition temperature (Tg) and melting temperature (Tm) increased with increasing the Fe3O4 nanoparticle loading. The observed monotonically decreased complex viscosity indicates a strong shear thinning behavior in the PNCs; meanwhile, the percolation takes place in the low frequency range (0.1–1 Hz) when the nanoparticles are introduced in the matrix. The Tg of the PS/Fe3O4 nanocomposites determined from the dynamic mechanical analysis shifts to a higher temperature compared with that of pure PS. Enhanced dielectric properties relate to the Fe3O4 NP loadings. In addition, the PS/Fe3O4 PNCs exhibit superparamagnetic behavior at room temperature.