With the rapid development of portable and wearable electronic devices, self-supporting flexible supercapacitors have attracted much attention, and higher requirements have been put forward for the electrode of the device, that is, it is necessary to have good mechanical properties while satisfying excellent electrochemical performance. In this work, a facile method was invented to obtain excellent self-supported flexible electrode materials with high mechanical properties and outstanding electrochemical performance by combining cellulose nanofibrils (CNFs) and reduced graphene oxide (RGO). We focused on the effect of the ratio of the addition of CNFs and the formation process of the film on the electrochemical and mechanical properties. The results show that the CNFs/RGO12 (where the ratio of CNFs to GO is 1:2) film displayed outstanding comprehensive properties; its tensile strength and conductivity were up to 83 MPa and 202.94 S/m, respectively, and its CA value was as high as 146 mF cm−2 under the current density of 5 mA cm−2. Furthermore, the initial retention rate of the specific capacitance was about 83.7% when recycled 2000 times; moreover, its capacitance did not change much after perpendicular bending 200 times. Therefore, the films prepared by this study have great potential in the field of flexible supercapacitors.