Graphene oxide (GO) membranes have been widely explored for their excellent physical and chemical properties, and abundant functional groups. In this work, we report the improvement of the perpendicular magnetic anisotropy (PMA) of CoFeB thin films by applying a coating of GO membranes. We observe that the PMA of the CoFeB/MgAl–O stacks is strongly enhanced by the coating of GO membranes and even reaches 0.6 mJ m−2 at room temperature after an annealing process. The critical thickness of the membrane-coated CoFeB for switching the magnetization from the out-of-plane to the in-plane axis exceeds 1.6 nm. First-principle calculations are performed to investigate the contribution of the GO membranes to the magnetic anisotropy energy (MAE). Due to changes in the hybridization of 3d orbitals, varying the location of the C atomic layer with Co changes the contribution of the Co–C stacks to PMA. Thus, the large PMA achieved with GO membranes can be attributed to the orbital hybridization of the C and O atoms with the Co orbitals. These results provide a comprehensive understanding of the PMA and point towards opportunities to achieve multifunctional graphene-composite spintronic devices.