It may seem that Farsi literature was popular in India duirng Thakur's time. At that time the words which are originally from Farsi were perhaps not known as Urdu. At any rate one finds Thakur using several Farsi / Urdu words like "Umer" to mean age, "Dhup" to mean Sunny.
These are rather common words and perhaps became part of Bengali. However, it amazes me that He understood some of the Urdu words which are very uncommon.
When Srimat Hiranand, Takur's Devotee from Sindh, had come to see Him for the last time at Cossipore Gardne House, Thakur had asked Swamiji to sing a Urdu devotional song by Zafar Ali which goes as follows:
Tujhse hamne dilko lagaya - jo kuch hai so tuhi hai,
Ek tujhko aapna paya - jo kuch hai so tuhui hai
Sabke makan dil ka makeen tu - kaun sa hai dil jisme nehi tu
Har ek dil me hai tu samaya - jo kuch hai so tuhi hai
Kya malayak kya insan kya hindu kya mussalman
Jaise chaha tune banaya - jo kuch hai so tuhui hai
Kaba me kya aur deir mein kya, teri paristish hogi sab jan
Age tere sar sabone jhukya, jo kuch hai so tuhi hai
Ars se le kar farsh jamin tak, aur jamin se ars bari tak
Jaha mei dekha tuhi nazar aya, jo kuch hai so tuhi hai
Socha samjha dekha bhala, tu jeysa koi dhund nikala
Aab e samajh me Zafar ki aya, jo kuch hai so tuhi hai
I tried to translate it in English as follows:
I have placed you in my heart - whatever exists is you
I found you alone to be my very own - whatever I have is you alone
You are omnipresent in every heart - there is none where you are not present
Your presence can be felt in every heart - whatever exists is you
Whether it is an angel, or human, hindu or mussalman
You made one according to your wish - whatever exists is you
Whether in the mosque or in the temple, you are being worshipped everywhere
Everyone bows his head in front of you - whatever exists is you
From the highest high to the lowest low and from lowest low to the highest high
Where ever I looked I only found you - whatever exists is you
I thought, understood, saw and pondered but could not find anyone like you
Now Zafar realizes that whatever exists is you
The above is flawed by my limited Urdu and English - I am not sure if the highlighted portions are correct but it is my contribution and I expect someone more knowledgeable in Urdu and more poetic to provide a better rendering
Thanks