Graphene-based fibers (GFs) have drawn increasing attention in recent years owing to their exceptional advantages such as high tensile strength, electrical conductivity, thermal conductivity, tunable structure and good flexibility. Given the exceptional performance of GFs, they play a substantial role in several emerging science fields, exhibiting great potential for implementation in wearable electronics. A wide variety of strategies have been carried out for controlling the microscopic structure and achieving the improved mechanical, electrical, electrochemical, photovoltaic and thermoelectric properties of the GFs. Various graphene-based composite fibers have been fabricated for energy devices through the combination of functional materials, which has been demonstrated a crucial route to alter the performance of GFs for the desired devices and applications. In this review, we summarize the recent progress in the fabrication of GFs, and their state-of-the-art applications in energy storage/conversion devices, including supercapacitors, lithium-ion batteries, thermoelectric generators, solar cells and self-powered devices. In addition, the current issues and prospects of GF-based energy storage/conversion devices are also discussed. This review may shed light on energy storage and conversion mechanism of graphene fiber-based energy devices, and pave the way for the development and applications of high-performance fiber-based wearable energy storage and conversion devices.