Filler of inorganic nanocrystals is an efficient way to greatly enhance the functional performance of graphene-based nanocomposites or to create new properties of graphene materials. However, it remains a challenge because the fabrication of such nanocomposites may decline or even lose the functional properties of the constituents during the hybridization process. In this work, a new class of multifunctional nanocomposites incorporating Fe3O4 magnetic nanocrystals (MNCs) and NaYF4:Yb,Er upconversion nanocrystals (UCNCs) within graphene oxide (GO) matrix are created based on the co-assembly of the preformed nanocrystals and graphene. These new graphene nanocomposites distinctively exhibit both the favorable photoluminescence of UCNC and magnetic property of MNC building blocks. Moreover, the graphene nanocomposites exhibit enhanced mechanical properties, good biocompatibility, as well as high electrical conductivity after thermal annealing. Compared with the pure GO film, the maximum tensile strength (102.8 MPa) and modulus (10.9 GPa) of the graphene nanocomposite increase by ca. 119 and 160%, respectively. The luminescent, magnetic, and mechanical properties of the nanocomposites can be fine-tuned by changing the graphene-to-nanocrystal ratios. These results enable to fabricate multi-targeting and multi-treating tools and lighting devices.