An exhaustive study on a nanocomposite–poly(methyl methacrylate) matrix material as a supercapacitor is presented. The study includes morphological, structural, and electrochemical characterization. Different electrolytes were used, for which both pseudocapacitance (for reduced graphene oxide) and electric double‐layer capacitance (for functionalized graphene) were observed. An optimum nanocomposite weight percentage was found (2%), and the best performance with highest capacitance (30.4 F/g) was seen for the electrolyte including the smallest anions (OH⁻), being among the best values for similar systems, that is, a nanocomposite/nonconductive polymer matrix. In addition, a model is presented that explains the underlying electron transport mechanism. The results are promising for the construction of supercapacitors based on novel nanocomposite–poly(methyl methacrylate) matrix materials. © 2018 Wiley Periodicals, Inc. J. Appl. Polym. Sci. 2018, 135, 46685