Extensive use of fossil fuels can lead to energy depletion and serious environmental pollution. Therefore, it is necessary to solve these problems by developing clean energy. Graphene materials own the advantages of high electrocatalytic activity, high conductivity, excellent mechanical strength, strong flexibility, large specific surface area and light weight, thus giving the potential to store electric charge, ions or hydrogen. Graphene-based nanocomposites have become new research hotspots in the field of energy storage and conversion, such as in fuel cells, lithium-ion batteries, solar cells and thermoelectric conversion. Graphene as a catalyst carrier of hydrogen fuel cells has been further modified to obtain higher and more uniform metal dispersion, hence improving the electrocatalyst activity. Moreover, it can complement the network of electroactive materials to buffer the change of electrode volume and prevent the breakage and aggregation of electrode materials, and graphene oxide is also used as a cheap and sustainable proton exchange membrane. In lithium-ion batteries, substituting heteroatoms for carbon atoms in graphene composite electrodes can produce defects on the graphitized surface which have a good reversible specific capacity and increased energy and power densities. In solar cells, the performance of the interface and junction is enhanced by using a few layers of graphene-based composites and more electron-hole pairs are collected; therefore, the conversion efficiency is increased. Graphene has a high Seebeck coefficient, and therefore, it is a potential thermoelectric material. In this paper, we review the latest progress in the synthesis, characterization, evaluation and properties of graphene-based composites and their practical applications in fuel cells, lithium-ion batteries, solar cells and thermoelectric conversion.