Graphene fibers, as one of the assembled ordered materials in the graphene field, have gained increasing attention in the recent years. Until now, the hot spot has still been focused on the methods to improve the mechanical properties of graphene fibers. Among many factors, the reduction processing has been found to be a very critical step influencing the final properties of graphene fibers. In this paper, to find out the effects and mechanism of the reduction treatment on the wet-spun graphene oxide fibers, the thermal annealing and chemical reduction methods have been applied and discussed parallelly. The results showed that the tensile strength and modulus of thermally reduced graphene oxide fibers can reach 820.2 MPa and 54.7 GPa respectively, which were much higher than the corresponding value of 431 MPa and 24.1 GPa obtained from the chemical reduction. The superior mechanical properties of thermally reduced graphene oxide fibers were attributed to the ordered graphite crystallites, stronger interlayer interactions, and fewer defects, which were analyzed from the microstructure characterization. Additionally, to give a clear evolution from the graphene oxide liquid crystal to long-range ordered graphene fibers, a structure evolution model has been built. It can be proved that thermal annealing is an efficient way to fabricate high-strength graphene fibers.