Graphene, as a novel carbon nanomaterial, exhibits superior performance in electrochemical sensors. Here, graphene was applied to the microelectrode system by a simple method. A novel graphene coating carbon fiber microelectrode (G-CFM) was fabricated by electrodepositing graphene on the surface of carbon fiber. The fabrication method is fast and simple. Scanning electron microscopy and Raman spectroscopy demonstrated that carbon fiber was successfully modified by graphene. The electrochemical behavior of G-CFM was characterized by potassium ferricyanide and dopamine (DA). The electrode exhibited much larger current response and less overpotential response, compared to CFM. The microsensor for DA showed good sensitivity and selectivity, and the electrode had good stability. It is believable that the unique characteristic of graphene holds promise for the advanced microelectrode system for highly sensitive detection of various targets.