NaYF₄:Er³⁺/Yb³⁺–graphene composites were successfully prepared by growing NaYF₄:Er³⁺/Yb³⁺ nanoparticles in interlayers of expanded graphite, accompanied with the simultaneous exfoliation of expanded graphite under polyvinylpyrrolidone-assisted hydrothermal conditions. The obtained NaYF₄:Er³⁺/Yb³⁺–graphene composites can emit bright green upconversion emissions under 980 nm excitation. In addition, the NaYF₄:Er³⁺/Yb³⁺–graphene composites were chosen to design TiO₂–NaYF₄:Er³⁺/Yb³⁺–graphene composite photoanodes, which have the ability to improve the efficiencies of the solar cells. The electron transport and interfacial recombination kinetics were investigated by the electrochemical impedance spectroscopy and intensity-modulated photocurrent/photovoltage spectroscopy in detail.