Two kinds of graphene–sulfur composites with 50 wt% of sulfur are prepared using hydrothermal method and thermal mixing, respectively. Transmission Electron Microscopy (TEM) and Energy Dispersive X-ray Spectra mapping show that sulfur nanocrystals with size of ∼5 nm dispersed on graphene sheets homogeneously for the sample prepared by hydrothermal method (NanoS@G). While for the thermal mixed graphene–sulfur composite (S–G mixture), sulfur shows larger and uneven size (50–200 nm). X-ray Photoelectron Spectra (XPS) reveals the strong chemical bonding between the sulfur nanocrystals and graphene. Comparing with the S–G mixture, the NanoS@G composite shows highly improved electrochemical performance as cathode for lithium–sulfur (Li–S) battery. The NanoS@G composite delivers an initial capacity of 1400 mAh g−1 with the sulfur utilization of 83.7% at a current density of 335 mA g−1. The capacity keeps above 720 mAh g−1 over 100 cycles. The strong adherence of the sulfur nanocrystals on graphene immobilizes sulfur and polysulfides species and suppressed the “shuttle effect”, resulting higher coulombic efficiency and better capacity retention. Electrochemical impedance also suggests that the strong bonding enabled rapid electronic/ionic transport and improved electrochemical kinetics, therefore good rate capability is obtained. These results demonstrate that the NanoS@G composite is a very promising candidate for high-performance Li–S batteries.