To reduce the energy loss of high-speed steel (HSS) rolls during the rolling process, coatings with effective friction reduction qualities were studied. In this paper, the magnetic stirring was used to prepare the composites of graphene oxide and carboxylated multi-walled carbon nanotubes (GO/CMWCNTs) with various mass ratios. By using 3-(aminopropyl)triethoxysilane (APTES) as a transition layer on hydroxylated-treated HSS, Si-O and C-N bonds were formed to obtain the assembled GO/CMWCNTs films. The results of the friction tests with Al2O3 ceramic balls indicate that the assembled GO/CMWCNTs-2 (1:2) films have an optimum friction reduction effect with the coefficient of friction of about 0.06 (about 83% lower than bare steel). Analysis of the wear mark surface reveals that the reason for the low friction behaviors is the formation of GO/CMWCNTs lubricating films with more sp2 content at the friction interface. The lubricating mechanism of the self-assembly films is to produce a stable multilayer film stacking system with layers joined by covalent bonds.