To improve the interfacial properties of carbon fibers/epoxy composites, we introduced a gradient interphase reinforced by graphene sheets between carbon fibers and matrix with a liquid phase deposition strategy. Interlaminar shear strength and flexural strength of the composites are both improved. The interfacial reinforcing mechanisms are explored by analyzing the structure of interfacial phase with linear scanning system of scanning electron microscope and atomic force microscope. Results indicate that carbon element shows a graded dispersion in the interface region and a gradient interface layer with the modulus decreasing from fibers and matrix is found to be built. To verify the effect of gradient interphase on the interfacial properties of composites, the mixture of carbon fiber/graphene/epoxy is sonicated before curing to disperse graphene sheets in matrix homogeneously. As a result, gradient interphase structures are disappeared and interfacial performance of composites is found to be weakened. The role of gradient interface layers in enhancing interfacial performances is further proved from a different angle.