In this work, graphene oxide (GO) was incorporated into a nickel phosphorus (Ni–P) alloy matrix by electroless plating. A series of experiments were carried out to examine the mechanical properties. The surface-heat treatment of Ni–P–GO composite coatings was performed at 200 °C, 400 °C, and 600 °C under vacuum atmosphere, respectively. X-ray diffraction (XRD) results indicated that composite coatings from a mixture of amorphous and crystalline phases transformed into a crystal structure after heat treatment. The microstructures of Ni–P–GO composite coatings were revealed by scanning electron microscopy (SEM) and atomic force microscopy (AFM). The micro-hardness and wear resistance of composite coatings were evaluated using both a micro-hardness tester and wear test apparatus. Additionally, the worn surface of Ni–P–GO composite coatings was analyzed by SEM. The results demonstrated that the heat treatment composite coatings have higher hardness and wear resistance than the composite coatings without heating. Composite coatings perform the best after heat treatment at 400 °C.