Abstract The energy harvesting performance of the shape memory materials (SMM) depends on the recovery rate and recovery force of SMM. In this work, the shape memory vapor grown carbon fiber/graphene oxide/epoxy (VGCF/GO/EP) were prepared, and the thermodynamic coupling behaviors and the energy harvesting property of the composites were investigated via homemade evaluation apparatus, respectively. The experimental results showed that the addition of VGCF-GO fillers can effectively improve the thermal response recovery rate of EP in the stretching stage below the strain of approximately 10%. At 10% pre-strain, the maximum thermal response recovery rate of the VGCF/GO/EP composites was 57%, 158%, and 22% higher than that of the pristine EP, GO/EP composites, and VGCF/EP composites, respectively. The synergistic effect of VGCF and GO significantly improves the output work of the EP films, and the VGCF/GO/EP composite films can easily lift 300 g weight under 30% pre-strain. Especially under 100 g load, the VGCF/GO/EP composite films can stably output up to 275 J kg−1 work in the heating and cooling cycle (40 °C–95 °C). Furthermore, the VGCF/GO/EP composite films and piezoelectric ceramic (PZTC) were combined to form a thermal energy collector, which realized the conversion from thermal energy to electrical energy. The thermal energy collectors can output 1.5 V peak voltage under the ambient temperature change of 40 °C–90 °C.