Graphene oxide (GO) sheets were noncovalently modified with an amphiphilic double-crystalline block copolymer, polyethylene-b-poly(ethylene oxide) (PE-b-PEO) with assistance of supercritical CO2 (SC CO2) in this work. The resulting PE-b-PEO/GO nanohybrids were characterized by transmission electron microscopy (TEM), wide-angle X-ray diffraction (WAXD), Fourier transform infrared spectroscopy (FTIR), and Raman spectra. Distinct morphologies of PE-b-PEO decorating on the surface of GO were obtained in different solvent systems and at different SC CO2 pressures. We found that the solvent system and the SC CO2 have significant influence on the crystallization, aggregation, or assembly behaviors of PE-b-PEO molecular chains on the GO sheets. The formation mechanism of the distinct nanohybrid structures is attributed to a relevant easy heteronucleation and the limited crystal growth of the block polymer on the surface of GO. The resulting modified GO sheets could find a broad spectrum of applications not only in producing graphene-based nanocomposites but also being used as a template to fabricate multifunctional structures due to the unique properties of PE-b-PEO. As a proof-of-concept, we further decorated the GO sheets with the as-prepared Au nanoparticles (Au NPs) and CdTe nanoparticles (CdTe NPs) with PE-b-PEO as the interlinker. Using the thiol-terminated PE-b-PEO as an interlinker, Au NPs can be densely assembled on the surface of GO via robust Au S bonds. Furthermore, the photoluminescence quenching of CdTe NPs was more notable for PE-b-PEO/GO-CdTe hybrid compared to the GO-CdTe hybrid, suggesting that the electron transfer from the CdTe NPs to the GO sheets was enhanced with the PE-b-PEO interlinker. The availability of these affordable graphene-based multifunctional structures and their fundamental properties will open up new opportunities for nanoscience and nanotechnology and accelerate their applications.