Self-assembly of two-dimensional graphene sheets is an important strategy for producing macroscopic graphene architectures for practical applications, such as thin films and layered paperlike materials. However, construction of graphene self-assembled macrostructures with three-dimensional networks has never been realized. In this paper, we prepared a self-assembled graphene hydrogel (SGH) via a convenient one-step hydrothermal method. The SGH is electrically conductive, mechanically strong, and thermally stable and exhibits a high specific capacitance. The high-performance SGH with inherent biocompatibility of carbon materials is attractive in the fields of biotechnology and electrochemistry, such as drug-delivery, tissue scaffolds, bionic nanocomposites, and supercapacitors.