With the rapid development of nanotechnology, the study of nanocomposites as electrode materials has significantly enhanced the scope of research towards energy storage applications. Exploring electrode materials with superior electrochemical properties is still a challenge for high-performance supercapacitors. In the present research article, we prepared a novel nanocomposite of tungsten trioxide nanoparticles grown over supported graphene oxide sheets and embedded with a poly(3,4-ethylenedioxythiophene) matrix to maximize its electrical double layer capacitance. The extensive characterization shows that the poly(3,4-ethylenedioxythiophene) matrix was homogeneously dispersed throughout the surface of the tungsten trioxide–graphene oxide. The poly(3,4-ethylenedioxythiophene)@tungsten trioxide–graphene oxide exhibits a higher specific capacitance of 478.3 F·g−1 at 10 mV·s−1 as compared to tungsten trioxide–graphene oxide (345.3 F·g−1). The retention capacity of 92.1% up to 5000 cycles at 0.1 A·g−1 shows that this ternary nanocomposite electrode also exhibits good cycling stability. The poly(3,4-ethylenedioxythiophene)@tungsten trioxide–graphene oxide energy density and power densities are observed to be 54.2 Wh·kg−1 and 971 W·kg−1. The poly(3,4-ethylenedioxythiophene)@tungsten trioxide–graphene oxide has been shown to be a superior anode material in supercapacitors because of the synergistic interaction of the poly(3,4-ethylenedioxythiophene) matrix and the tungsten trioxide–graphene oxide surface. These advantages reveal that the poly(3,4-ethylenedioxythiophene)@tungsten trioxide–graphene oxide electrode can be a promising electroactive material for supercapacitor applications.