Graphene oxide (GO), sodium alginate (SA), and Antarctic krill protein (AKP) were blended to get functional fibers. These GO–SA–AKP composite fibers were obtained by conventional wet spinning with 5% calcium chloride as a coagulation solution. The intermolecular interactions of the GO–SA–AKP composite system were characterized by Fourier transform infrared spectroscopy. The morphology, crystallinity, thermal stability, and mechanical properties of the GO–SA–AKP composites were investigated with scanning electron microscopy, X‐ray diffraction, thermogravimetric analysis, and differential scanning calorimetry. The results show that the number of GO layers decreased gradually during the process of wet spinning. The addition of GO promoted an increase in intramolecular hydrogen bonding and a decrease in intermolecular hydrogen bonding in the composite system. With increasing GO mass fraction, the intermolecular hydrogen‐bond content, crystallinity, breaking strength, and thermal stability in the composite system increased first and then decreased. At the same time, the mass fraction of GO and the draw ratio had significant effects on the surface morphologies of the composite fibers. © 2018 Wiley Periodicals, Inc. J. Appl. Polym. Sci. 2018, 135, 46642.