A sensitive and feasible multiplexed immunoassay protocol for simultaneous electrochemical determination of carcinoembryonic antigen (CEA) and alpha-fetoprotein (AFP) was developed using multifunctionalized graphene nanotags on a cyclodextrin-modified immunosensor. The sensor was fabricated via the guest–host chemistry between the immobilized cyclodextrin and anti-CEA/anti-AFP antibodies. Two nanotags including cyclodextrin-thionine-graphene and cyclodextrin-ferrocene-graphene nanostructures were synthesized based on a wet chemistry method. The synthesized nanotags were employed for the labelling of horseradish peroxidase (HRP)–anti-AFP and HRP–anti-CEA conjugates, respectively. With a sandwich-type assay format, the signal was monitored through the labelling of HRP toward catalytic reduction of H2O2 at various peak potentials in the presence of thionine and ferrocene, respectively. Under optimal conditions, the multiplexed immunoassay enabled the simultaneous determination of CEA and AFP with wide working ranges of 0.001–60 ng mL−1 for AFP and 0.003–40 ng mL−1 for CEA. The detection limits were 0.5 pg ml−1 for AFP and 0.8 pg ml−1 for CEA (at 3 sB). No obvious nonspecific adsorption and cross-talk were observed during a series of analyses to detect target analytes. Intra- and inter-assay coefficients of variation (CV) were below 9.5 %. Importantly, the methodology was also evaluated for the analysis of AFP and CEA in the clinical human serum specimens, receiving a good relationship between the developed immunoassay and a commercialized electrochemiluminescence enzyme-linked immunoassay.