Long-term instability of Li–S batteries is one of their major disadvantages compare to other secondary batteries. The reasons for the instability include dissolution of polysulfide intermediates and mechanical instability of the electrode film caused by volume changes during charging/discharging cycles. In this paper, we report a novel graphene–sulfur–carbon nanofibers (G-S-CNFs) multilayer and coaxial nanocomposite for the cathode of Li–S batteries with increased capacity and significantly improved long-cycle stability. Electrodes made with such nanocomposites were able to deliver a reversible capacity of 694 mA h g–1 at 0.1C and 313 mA h g–1 at 2C, which are both substantially higher than electrodes assembled without graphene wrapping. More importantly, the long-cycle stability was significantly improved by graphene wrapping. The cathode made with G-S-CNFs with a initial capacity of 745 mA h g–1 was able to maintain 273 mA h g–1 even after 1500 charge–discharge cycles at a high rate of 1C, representing an extremely low decay rate (0.043% per cycle after 1500 cycles). In contrast, the capacity of an electrode assembled without graphene wrapping decayed dramatically with a 10 times high rate (0.40% per cycle after 200 cycles). These results demonstrate that the coaxial nanocomposites are of great potential as the cathode for high-rate rechargeable Li–S batteries. Such improved rate capability and cycle stability could be attributed to the unique coaxial architecture of the nanocomposite, in which the contributions from graphene and CNFs enable electrodes with improved electrical conductivity, better ability to trap soluble the polysulfides intermediate and accommodate volume expansion/shrinkage of sulfur during repeated charge/discharge cycles.