Glass fiber reinforced epoxy composites with alumina trihydrate, graphene nanoplatelets (GNP), and multi‐walled carbon nanotubes (MWCNT) were fabricated by pultrusion technique and measurement of in‐plane and cross‐plane thermal conductivity and theoretical estimation of the cross‐plane thermal conductivity was undertaken. Microstructure of the composites was elucidated using X‐ray diffraction (XRD), scanning electron microscopy, transmission electron microscopy, and optical imaging. Highest in‐plane thermal conductivity of 1.6 W/m K was achieved with 3 wt% of graphene and 2 wt% of MWCNT, due to good interactions between the fibers, fillers, and the epoxy. In the cross‐plane direction, highest thermal conductivity of 0.58 W/m K was observed with 2 wt% each of MWCNT and graphene. The synergistic effects of the two carbon fillers are observed only when the weight percentages of the two fillers are either matched or the weight percentage of graphene is higher. Factors like dispersion, alignment, orientation, shape, and size of the fillers are critical for achieving higher thermal conductivity of the composites. The cross‐plane thermal conductivity of composites was estimated by Hashin and Clayton models and the results fit well into the experimental data. XRD analysis has established that with 2 wt% of MWCNT or its combination with 2 wt% of GNP results in better structural ordering of the composites.