The MgSO4: Dy, P and MgSO4: Dy, P, Cu phosphors have been developed and studied by the thermoluminescence (TL) glow curves and dose responses to gamma radiation. The TL sensitivity of MgSO4: Dy, P phosphor is higher than that of LiF: Mg, Ti. One main dosimetric peak at about 283.6◦C and a satellite peak at about 352.7◦C are involved in the TL glow curve of the MgSO4: Dy, P which was measured with a heating rate of 5◦C s−1 and deconvoluted by the general order kinetics equation to obtain the peak parameters and trap parameters of the elementary TL peaks. The dose responses to gamma rays in the dose range from 0.1 Gy to 20 kGy were obtained and fitted by the composite action dose response function to get the nonlinear characteristic parameters, one-hit factor R and characteristic dose D0, which indicate that the TL dose responses for the two peaks of MgSO4: Dy, P are supralinear. When a trace amount of Cu was co-doped into MgSO4: Dy, P the TL glow peak at 352.7◦C was suppressed and the TL sensitivity and the nonlinearity of dose response for the main dosimetric peak at 283.6◦C critically depends on the concentration of doped Cu. The dose response of MgSO4: Dy, P, Cu (0.1 mol%, 0.5 mol%, 0.01 mol%) phosphor is linear–sublinear. The MgSO4: Dy, P, Cu (0.1 mol%, 0.5 mol%, 0.004 mol%) phosphor has a wider linear range in the dose response than MgSO4: Dy, P (0.1 mol%, 0.5 mol%) and its TL sensitivity is close to MgSO4: Dy, P (0.1 mol%, 0.5 mol%). It may be a candidate with which to measure radiation dose under higher dose circumstances.