The interfacial interaction of composites dominates the properties of polymeric/inorganic nanocomposites. Herein, epoxy and hydroxyl groups are introduced into the natural rubber (NR) molecular chains to anchor oxygenous functional groups on the surface of graphene oxide (GO) sheets and therefore enhance the interfacial interaction between GO and rubber. From the morphological observation and interaction analysis, it is found that epoxidized natural rubber (ENR) latex particles are assembled onto the surfaces of GO sheets by employing hydrogen bonding interaction as driving force. This self-assembly depresses restacking and agglomeration of GO sheets and leads to homogenous dispersion of GO within ENR matrix. The formation of hydrogen bonding interface between ENR and GO demonstrates a significant reinforcement for the ENR host. Compared with those of pure ENR, the composite with 0.7 wt% GO loading receives 87% increase in tensile strength and 8.7 fold increase in modulus at 200% elongation after static in-situ vulcanization.