Graphene oxide (GO), a novel carbon-based nanomaterial, has been significantly developed and investigated during the past decade in the fields of material science and chemistry. GO is essentially one-atom thick, but the lateral dimension can reach to dozens of microns, resulting in a unique 2D layered structure. This allows for oxygen-containing functional groups to be grafted on the sheets, which give GO a unique amphiphilicity and enables it to self-assemble at two-phase interfaces. This characteristic provides significant potential for the development of functional interfacial materials with promising performances, including the synthesis of large area interfacial membranes, GO-based coating with self-healing abilities, and functional GO-based emulsions. In this review, the interfacial assembly behaviors of GO and functionalized-GO at the air-liquid, liquid-liquid, and liquid-solid interfaces are discussed to further understand the properties and applications of GO. The synthesis of different composites using these interfacial properties is also discussed. The application progress of GO composite materials that are prepared based on their interfacial properties is also illustrated, and possible challenges are proposed.