Graphene is composed of single-layered sp² graphite and has been widely used in electrochemical energy conversion and storage due to its appealing physical and chemical properties. In recent years, a new kind of the self-supported graphene nanosheet-based composite (GNBC) has attracted significant attention. Compared with conventional powdered materials, a binder-free electrode architecture has several strengths, including a large surface area, enhanced reaction kinetics, and great structural stability, and these strengths allow users to realize the full potential of graphene. Based on these findings, this review presents preparation strategies and properties of self-supported GNBCs. Additionally, it highlights recent significant developments with integrated binder-free electrodes for several practical applications, such as lithium-ion batteries, lithium-metal batteries, supercapacitors, water splitting and metal-air batteries. In addition, the remaining challenges and future perspectives in this emerging field are also discussed.