Gaseous carbon dioxide (CO2) was converted into few-layered graphene sheets grafted by carbon nanofibers (G-CNFs) at the atmospheric pressure. The synthesis was performed in a one-pot route by the thermal Mg-aided reduction of CO2 in the presence of nickel nanoparticles that have a crucial role in the growth of carbon nanofibers. The produced G-CNF was bifunctionally applied as a cathode supporter for elemental sulfur and a thin interlayer for the separator in the Li–S battery. The graphene layers exfoliated by the carbon nanofibers enabled the formation of semi-freestanding membrane through sonication in a surfactant solution. They were attached on the separator to be used as a several micron-thick interlayer. The G-CNF employed as both cathode and interlayer materials enhanced the charge-discharge capacity and stability due to its low electrical resistivity and its role as a barrier to the polysulfides shuttle. As a result, a high capacity of 820 mAhg−1 and 640 mA h g−1 after 100 and 500 cycles were acquired at 0.5 C, respectively. The results suggest not only the facile one-step conversion of atmospheric CO2 to the exfoliated graphene grafted by carbon nanofibers, but also its outstanding electrochemical performance in the Li–S battery.