Graphene oxide (GO) is an attractive nanomaterial in reinforcing cementitious materials due to the excellent mechanical properties. This paper presents the effect of GO on the mechanical behavior of Strain Hardening Cementitious Composites (SHCCs), including mechanical performance under compression, tension and flexure. In this study, GO was firstly synthetized by the modified Hummers' method, and then the SHCCs with different GO content of 0.05 wt%, 0.08 wt% and 0.12 wt% were fabricated. It was found that compared with normal SHCC, the GO reinforced SHCCs show an obvious improvement in mechanical behavior. The addition of 0.08 wt% GO leads to 24.8% increase in compressive strength, 37.7% increase in tensile strength, 80.6% increase in flexural strength and 105% increase in flexural toughness, respectively. The improved mechanical behavior of the GO reinforced SHCCs is attributed to the enhanced matrix strength as well as the chemical bonding between the polyvinyl alcohol (PVA fiber) and the cement matrix by GO addition. However, too much GO will cause PVA fiber rupture before being pulled-out from the matrix and should be avoided in the material design.