Graphene nanosheets (GNSs)/Al2O3 composites were synthesized by wet milling. In this study, the effects of wet milling speed on the layer distribution, quality and conversion efficiency of graphene in GNSs/Al2O3 composites were studied using scanning electron microscopy (SEM), high resolution transmission electron microscopy (HRTEM), raman spectroscopy, fourier transform infrared spectroscopy (FTIR) and X-ray diffraction (XRD). The results show that the intensity of graphite peak decreases and the conversion efficiency of graphene increases with the increase of rotational speed in the range of 200–300 rpm, and a small amount of graphene coated Al2O3 nanoparticles were found in GNSs/Al2O3 composites. The number of layers (≤10 layers) of GNSs gradually increases with the increase of ball milling speed. When the rotational speed is 300 rpm, the graphene conversion efficiency is the highest. At different rotational speeds, graphene defects were the least influential marginal defects. There was no characteristic peak of graphene oxide (GO) appeared in the composite, indicating a small oxidation degree of graphene.