A facile and one-step electrochemical codeposition method is introduced for incorporating graphene oxide (GO) into poly(3,4-ethylenedioxythiophene) (PEDOT) films in the presence of sodium dodecyl sulfate (SDS). The as-prepared PEDOT/SDS-GO composites are characterized using scanning electron microscope, transmission electron microscopy, Fourier transform infrared spectroscopy, and X-ray diffraction. The results show that PEDOT/SDS-GO composites possessing a unique petal-shaped morphology have been prepared successfully and exhibit an intercalated microstructure. With the purpose of electrochemical energy storage, the properties of electrochemical capacitance for composites have also been investigated with cyclic voltammetry, galvanostatic charge/discharge measurements, and electrochemical impedance spectroscopy tests. The electrochemical test results manifest the PEDOT/SDS-GO composites have superior capacitive behaviors and cyclic stability, and a high areal capacitance of 79.6 mF cm−2 is achieved at 10 mV s−1 cyclic voltammetry scan. Furthermore, the PEDOT/SDS-GO composites exhibit more superior capacitive performance than that of PEDOT/SDS, indicating the incorporation of GO into the composites effectively boosts the capacitive performance of PEDOT-based supercapacitor electrodes. We consider that this research further extends the application of GO and the composites prepared can be developed as the candidate for the fabrication of low-cost, high-performance supercapacitors for energy storage.