Coating nanostructures on fiber reinforcement is a facile and scalable technique to manufacture next-generation fiber-reinforced polymer composites with tailored physical properties. Optimizing the nanomaterial coating thickness on fibers is vital in tailoring the multifunctionality of fiber-reinforced composites without sacrificing the mechanical performance since it relies on the fiber–matrix interface, where interlaminar and other physical properties are governed. This paper investigates the impact of graphene nanoparticle (GNP) coating thickness on the mechanical properties, fracture behavior, thermo-mechanical, and electromagnetic interference (EMI) shielding effectiveness (SE) of composite structures. We grafted GNPs on carbon fabrics using a solution coating method with various thicknesses (10, 20, and 30 µm), and GNPs grafted fabrics were impregnated with an epoxy resin. The 20 µm GNPs coating thickness exhibited the highest mechanical performance, increasing the tensile and interlaminar shear strength by 32% and 26%, respectively, compared to pristine samples. Storage modulus and transition (Tg) temperature values increased by 18.6% and 13.6% for 20 µm coating thickness, respectively. Besides, the unstable crack growth at the fiber–matrix interface was stabilized when the GNPs coating thickness reached 20 µm according to delamination toughness tests. While mode-I fracture toughness increased up to 22%, an improvement of 13.5% was obtained in mode-II fracture toughness. The underlying toughening mechanisms at the interfacial region were identified using scanning electron microscopy. The EMI-SE was slightly increased by the GNPs grafting, whereas thinner GNPs coatings exhibited higher shielding efficiency.