A series of epoxy composite coatings filled with liquid metal (LM) and graphene oxide (GO) are successfully prepared as the self-lubricating material in this work. The dispersion of LM and GO (LM@GO) in epoxy coating and its effect on the thermal, tribological, and mechanical properties of epoxy coating are systematically studied by using thermogravimetric analysis, differential scanning calorimetry, mechanical and friction, and wear tester. The LM@GO filler has been proved to be an effective composite filler, which can be uniformly dispersed in epoxy coating, reduce the wear volume, and improve its mechanical properties of epoxy coating. When the filler content is 0.5 wt% LM and 0.03 wt% GO, the wear volume of epoxy composite coating is dramatically reduced by 91.7% and the elastic modulus is increased by 16.3% compared with pure epoxy. The synergistic effect of the friction reduction of LM and the mechanical support of GO makes the composite coating form a uniform and stable transfer film, which improves its wear resistance. And through chemical stability experiments, the composite coating has a strong resistance to acid and alkali. This work will render the epoxy-LM@GO have the potential of application on the mechanical molds, electronic components.