Graphene has received increasing attention as an electrode material for electrical double-layer capacitors (EDLCs) due to its high specific surface area and high intrinsic electrical conductivity. Recently, there have been tremendous achievements for improving the gravimetric capacitance of graphene. However, graphene’s low density limits its practical applications as electrode material for EDLCs because of the unacceptably poor volumetric capacitance. To take full advantage of graphene’s superior properties, it preferably needs to be assembled into microspherical powder form with low ion transport resistance as well as high packing density. Herein, we demonstrate novel spray-drying strategy for the facile and scalable assembly of graphene into a compact microspherical powder via surface modification using cyanamide, which plays very important roles in the assembly process: preventing graphene oxide from interacting with water and restacking, polymerization into graphitic carbon nitride, and its thermal decomposition. The key challenges are the assembly of graphene in the form of microspherical particles, the densification of graphene microspheres with a high packing density and compressive strength, and the generation of mesopores in the graphene microspheres. Notably, N doped graphene microspheres exhibit an outstanding volumetric capacitance (259 F cm−3 at 0.1 A g−1) in 1 M tetraethylammonium tetrafluoroborate (TEABF4)/acetonitrile (ACN) electrolyte with excellent cycle stability (93.8% of the initial capacitance after 100,000 cycles at 2 A g−1). The graphene microspheres exhibit an excellent rate capability with a time constant of 0.92 s owing to the favorable formation of mesopores.