Graphene composite yarns have demonstrated significant potential in the development of multifunctional wearable electronics, showcasing exceptional conductivity, mechanical properties, flexibility, and lightweight design. However, their performance is limited by the weak interfacial interaction between the fibers and graphene. Herein, a polydopamine–reduced graphene oxide (PDA–RGO) interfacial modulation strategy is proposed to prepare graphene-coated cotton yarns with high electrical conductivity and strength. PDA–RGO serves as an interfacial bonding molecule that interacts with the cotton yarn (CY) substrate to establish a hydrogen interface, while interconnecting with highly conductive graphene through π–π interactions. The developed interface-designed graphene-coated yarn demonstrates an impressive average electrical conductivity of (856.27 ± 7.02) S/m (i.e., average resistance of (57.57 ± 5.35) Ω). Simultaneously, the obtained conductive yarn demonstrates an exceptional average tensile strength of (172.03 ± 8.03) MPa, surpassing that of primitive CY by approximately 1.59 times. The conductive yarns can be further used as low-voltage flexible wearable heaters and high-sensitivity pressure sensors, thus showcasing their remarkable potential for high-performance and multifunctional wearable devices in real-world applications.