In this work, single and few-layer graphene sheets have been successfully peeled from natural graphite through continuous mechanical exfoliation by a three-roll mill machine with a polymer adhesive. The inspiration takes root in the “Scotch tape” method. Characterizations show that the thickness of the resultant graphene sheets is 1.13–1.41 nm. The presented scalable process can be effective for the high-yield and low-cost production of graphene sheets or in situ fabrication of polymer/graphene nanocomposites.