Obtaining electrode materials with excellent electrochemical properties is always a challenge in the research of new energy materials. This paper presents a novel composite material prepared using a simple method, which involves embedding core–shell Co3O4@SiO2 nanoparticles onto highly conductive reduced graphene oxide (rGO) with excellent electrochemical performance. The results indicate that the encapsulation of the polymer with the core–shell material enhances the electrochemical performance. In this process, graphene oxide is reduced to reduced graphene oxide (rGO) by the hydrothermal method, and then the prepared core–shell Co3O4@SiO2 nanoparticles are embedded into the network structure of reduced graphene oxide (rGO). In addition, we investigate the optimal mass ratio of the core–shell material Co3O4@SiO2 and rGO in the Co3O4@SiO2/rGO composite. We prepare composites with different ratios of 4:1, 2:1, 4:3, 1:1, and 4:5, Co3O4@SiO2/rGO. The experimental results illustrate that when the current density is 0.4 A/g, the specific capacitance of the composite Co3O4@SiO2/rGO (1:1) is up to 216 F/g, and the volumetric capacitance is 372 F cm−3, which is more than fivefold higher than that of the core–shell material Co3O4@SiO2. Such large performance improvement is mainly attributed to the addition of rGO which can improve the conductivity of the entire composite material and the aggregation of Co3O4@SiO2, thus providing more active sites. This study confirms that the electrochemical properties of graphene oxide can be greatly improved by the combination of hydrothermal reduction graphene oxide with core–shell material Co3O4@SiO2, which provides a certain reference value for the further research of high-performance electrode materials.