Coatings with low friction coefficient and excellent anti-wear and anticorrosion performances are of great interest for fundamental research and practical applications. In the present study, Cobalt–nickel–phosphorus/graphene oxide (Co–Ni–P/GO) composite coating is prepared by a pulse electrodeposition method. Effect of the embedded GO sheets on the microstructures, microhardness, and electrochemical and tribological behaviors of the Co–Ni–P/GO composite coating are researched in detail. The results reveal that the co-deposition of GO sheets significantly improves the microhardness of the as-prepared Co–Ni–P/GO composite coating and changes the morphology of the Co–Ni–P coating from hemispheric structure to nodule structure with smaller globular particles for the Co–Ni–P/GO composite coating. In addition, friction and wear tests show that the incorporation of GO sheets endows the Co–Ni–P/GO composite coating with remarkable friction reduction and improved wear resistance. Electrochemical corrosion tests demonstrate that the Co–Ni–P/GO composite coating possesses better corrosion resistance than the Co–Ni–P coating.