The dispersion state of multilayer graphene sheets in polymers has a strong impact on the properties of the nanocomposite, and is driven by the processing parameters of the dispersion method. Herein, multilayer graphene sheet/vinyl ester nanocomposites were manufactured using a three‐roll mill. The roller gaps and number of processing cycles were varied to study their effect on the dispersion state and their relationship with the effective electromechanical properties of the nanocomposites. It was found that reducing the roller gaps and increasing the number of processing cycles yields smaller (up to 7.4 μm in diameter) and more densely packed (up to ~1500 agglomerates/mm 2) agglomerates. Nanocomposites manufactured with the three‐roll mill contain agglomerates up to 75% smaller and more densely packed than those manufactured with an ultrasonic tip. Electrical conductivity was higher for moderately‐sized, homogeneously distributed agglomerates (23 μm in diameter) with a high areal density (~920 agglomerates/mm 2), while smaller agglomerates reduced electrical conductivity. Smaller agglomerates increased the mechanical properties but decreased the piezoresistive sensitivity. The agglomerate density proved to be a key factor governing the piezoresistive sensitivity, with a lower number of agglomerates per unit area promoting higher gauge factors.