In this study, anisotropic graphene/graphene oxide (GO) aerogels (AGAs) were obtained by freeze-drying after direct participation of pristine graphene in the self-assembly of anisotropic gel by the heat flow method. After vacuum microwave treatment, the physical, chemical and structural characteristics of the AGAs were investigated. The results show that AGAs, in which the internal graphene sheets are parallel to the heat flow direction, are successfully prepared. After microwave treatment, the amount of oxygen and nitrogen reduces significantly and the sp2 domain increases. However, at the same time, many fragments and holes are generated in the graphene sheets. The effects of AGAs on the phase transition of paraffin is studied, and the results show that the melting enthalpy, solidification enthalpy and initial melting temperature of AGA/paraffin composites decreases as the GO content in the AGAs increases, whereas the melting range, solidifying range and subcooling degree increases. The highest axial thermal conductivity of the AGA/paraffin composite is 1.45 W/(mK), and the thermal conductivity enhancement efficiency is 884% (AGA content was 0.53 vol %). Compared with previously investigated, similar AGA/paraffin composites, the aerogels fabricated in this study have the obvious advantages of a simple fabrication process, a low cost and a high thermal conductivity enhancement efficiency. These aerogels possess the potential for application in phase-change energy storage (PES), thermal energy management and other fields.