As a remarkable multifunctional material, ferroferric oxide (Fe3O4) exhibits considerable potential for applications in many fields, such as energy storage and conversion technologies. However, the poor electronic and ionic conductivities of classical Fe3O4 restricts its application. To address this challenge, Fe3O4 nanoparticles are combined with graphene oxide (GO) via a typical hydrothermal method, followed by a conductive wrapping using poly(3,4-ethylenedioxythiophene):poly(styrene sulfonic sulfonate) (PEDOT:PSS) for the fabrication of composite films. Upon acid treatment, a highly conductive porous Fe3O4@RGO/PEDOT:PSS hybrid is successfully constructed, and each component exerts its action that effectively facilitates the electron transfer and subsequent performance improvement. Specifically, the Fe3O4@RGO/PEDOT:PSS porous film achieves a high specific capacitance of 244.7 F g−1 at a current of 1 A g−1. Furthermore, due to the facial fabrication of the highly conductive networks, the free-standing film exhibits potential advantages in flexible thermoelectric (TE) materials. Notably, such a hybrid film shows a high electric conductivity (σ) of 507.56 S cm−1, a three times greater value than the Fe3O4@RGO component, and achieves an optimized Seebeck coefficient (S) of 13.29 μV K−1 at room temperature. This work provides a novel route for the synthesis of Fe3O4@RGO/PEDOT:PSS multifunctional films that possess promising applications in energy storage and conversion.