Graphene and graphene-based materials have attracted growing interest for potential applications in medicine because of their good biocompatibility, cargo capability and possible surface functionalizations. In parallel, prototypic graphene-based devices have been developed to diagnose, imaging and track tumor growth in cancer patients. There is a growing number of reports on the use of graphene and its functionalized derivatives in the design of innovative drugs delivery systems, photothermal and photodynamic cancer therapy, and as a platform to combine multiple therapies. The aim of this review is to introduce the latest scientific achievements in the field of innovative composite graphene materials as potentially applied in cancer therapy. The “Technology and Innovation Roadmap” published in the Graphene Flagship indicates, that the first anti-cancer drugs using graphene and graphene-derived materials will have appeared on the market by 2030. However, it is necessary to broaden understanding of graphene-based material interactions with cellular metabolism and signaling at the functional level, as well as toxicity. The main aspects of further research should elucidate how treatment methods (e.g., photothermal therapy, photodynamic therapy, combination therapy) and the physicochemical properties of graphene materials influence their ability to modulate autophagy and kill cancer cells. Interestingly, recent scientific reports also prove that graphene nanocomposites modulate cancer cell death by inducing precise autophagy dysfunctions caused by lysosome damage. It turns out as well that developing photothermal oncological treatments, it should be taken into account that near-infrared-II radiation (1000–1500 nm) is a better option than NIR-I (750–1000 nm) because it can penetrate deeper into tissues due to less scattering at longer wavelengths radiation.