This paper reports the facile preparation of graphene oxide (GO)-adsorbed snowman-like anisotropic poly(methyl methacrylate) (SPMMA) microspheres along with their electro-responsive electrorheological (ER) performance when dispersed in silicone oil. GO was prepared using a modified Hummers method, whereas monodispersed SPMMA particles were fabricated using a seed emulsion polymerization procedure. GO was adsorbed on the surface of the SPMMA particles with the aid of a cationic surfactant cetyl trimethylammonium bromide through a negative–positive electrostatic attraction. The surface morphology, chemical components, thermal stability and electrical conductivity of the obtained core–shell structured GO–SPMMA particles were characterized by scanning electron microscopy, Fourier transform infrared spectroscopy, thermogravimetric analysis and resistivity meter, respectively. The ER characteristics of the obtained particles were examined using an optical microscope and a rotational rheometer. This novel ER fluid exhibited typical ER properties of solid-like behavior under an applied electric field.