Membrane capacitive deionization (MCDI) featuring both high electrosorption capacity and high energy efficiency holds promise for desalination. However, the large-scale applications of MCDI are limited greatly by the high cost of commercial ion-exchange membranes and the interfacial resistance. Here, a new strategy for high-performance MCDI is established using sulfonated graphene (SG) as cation-selective coating. A continuous ultrathin SG coating via self-assembly is formed and attached tightly onto the surface of electrospun carbon nanofibers (CNFs) by a simple yet effective dip-coating technique, yielding SG-CNF composites with a hydrophilic surface, high electrochemical specific capacitance, and greatly reduced interfacial charge transfer rate. These result in significantly enhanced capacitive deionization performance in terms of both electrosorption capacity and charge efficiency. The SG coating shows excellent cation selectivity for an asymmetric cell with SG–CNFs as a cathode. The new approach may pave a way to novel micro-MCDI, i.e. novel applications of functional graphene-based materials for high-performance, energy-efficient, and cost-effective desalination.