Graphene oxide (GO) has been demonstrated as the most promising candidate for surface modification of polymer separation membranes for durable filtration applications. However, the adhesion between GO coating and polymer substrate, as the most essential issue for reliable applications, has been little explored. Herein, we developed a facile high-pressure assisted deposition method to physically anchor GO sheets on microfiltration (MF) and reverse osmosis (RO) membranes, and established a tape test procedure for assessing the adhesion of GO coating to polymer substrates based on the ASTM D3359. Through regulating the GO sources and coating process, we demonstrated that the adhesion depends sensitively on the GO flake size and deposition pressure, whereas the adhesion level dramatically improved from OB to 5B, with decrease in the lateral size of GO and increase in the coating deposition pressure. The strong GO coatings showed evidently higher water flux than that of weak counterparts. The underlying mechanism was further analyzed and verified. Nanosize of GO and high deposition pressure favor the formation of the conformal morphologies of GO coatings on both MF and RO membranes, which allow strong interfacial van der Waals interaction because of the large contact areas and result in the strong GO coatings on membranes. These results potentially open up a versatile pathway to develop the strong graphene-based coatings on separation membranes.