Ultrathin, transparent and flexible capacitors using graphene as the bottom electrodes were directly fabricated on polyethylene naphthalate (PEN) substrates. ZrO2 dielectric films were deposited on the treated surface of graphene by atomic layer deposition (ALD). The deposition process did not introduce any detectible defects in the graphene, as indicated by Raman measurements, guaranteeing the electrical performances of the graphene electrodes. The Aluminum-doped zinc oxide (AZO) films were prepared as the top electrodes using the ALD technique. The capacitors presented a high capacitance density (10.3 fF/μm2 at 10 kHz) and a relatively low leakage current (5.3 × 10−6 A/cm2 at 1 V). Bending tests revealed that the capacitors were able to work normally at an outward bending radius of 10 mm without any deterioration of electrical properties. The capacitors exhibited an average optical transmittance of close to 70% at visible wavelengths. Thus, it opens the door to practical applications in transparent integrated circuits.