Photo-cross-linkable multilayer films composed of sulfonated reduced graphene oxide (SRGO) and polystyrene-based diazonium salt (PSDAS) were fabricated by electrostatic layer-by-layer (LbL) self-assembly. Polystyrene with narrow molecular weight distribution was synthesized by atom transfer radical polymerization (ATRP), and cationic PSDAS was prepared through nitration, reduction, and diazotization reactions. Negatively charged SRGO nanosheets were prepared through prereduced by NaBH4, modified by diazonium salt of sulfanilic acid, and then further reduced by hydrazine. The multilayer films were obtained by alternately dipping substrates in the PSDAS solution and SRGO dispersion in acidic conditions. The cross-linking between the components occurred during the multilayer formation process and was further achieved by the UV light irradiation after the film preparation. The assembling process and surface morphology of LbL multilayer films were monitored by UV-vis spectroscopy, atomic force microscopy (AFM), and scanning electron microscopy (SEM). The cross-linking between SRGO and PSDAS was verified by attenuated total reflectance FTIR (ATR-FTIR) spectroscopy, X-ray photoelectron spectroscopy (XPS), and contact angle measurement. The graphene nanosheets were found to be homogeneously distributed in the cross-linked network of the films. The large accessible surface area of graphene nanosheets and the cross-linking structure afforded the LbL films with high specific capacitance and excellent cyclic stability when used as supercapacitor electrodes. At a sweeping rate of 10 mV/s, the film with nine bilayers exhibited a specific capacitance of 150.4 F/g with ideal rectangular cyclic voltammogram. Large capacitance retention of 97% was observed after 10 000 charge-discharge cycles under the scanning rate of 1000 mV/s. This new approach for preparing graphene-containing multilayer films can be used to develop supercapacitor electrodes and other functional devices.