Triblock copolymer of poly(p-dioxanone) and polyethylene glycol end-capped with pyrene moieties ((Py-PPDO)2-b-PEG) was synthesized and used as modifier for multi-wall carbon nanotubes (MWCNTs). Nano-aggregates ((Py-PPDO)2-b-PEG@MWCNTs) with shish-kebab like partially wrapped morphology and very good stability were obtained by incorporating the copolymer with MWCNTs. The bare MWCNT sections of (Py-PPDO)2-b-PEG@MWCNTs were able to induce p–p interactions with graphene (GE) and resulted in a novel GE/(Py-PPDO)2-b-PEG@MWCNTs hybrid. The dispersity of GE in solution or polymer matrix was therefore greatly improved. The PCL nanocomposite films using GE/(Py-PPDO)2-b-PEG@MWCNTs as hybrid nanofiller exhibited obviously improved mechanical properties especially at very low hybrid nanofiller content. The influence of the nanofiller content and feed ratio of GE/MWCNTs on the mechanical properties of composites films was evaluated. When the feed ratio of GE to MWCNTs is 2:8 and the total loading of nanofiller is only 0.01 wt%, the tensile strength of the composite film increased by 163% and the elongation at break increased by 17% compared to those of neat PCL. These results can be attributed to fine dispersion of the nanofillers in PCL matrix and the hybrid interactions between GE and MWCNTs. Therefore, this work provides a novel method for preparing polymer nanocomposites with high mechanical performance and low nanofiller loading.