Graphene oxide (GO), the functionalized graphene with oxygenated groups (mainly epoxy and hydroxyl), has attracted resurgent interests in the past decade owing to its large surface area, superior physical and chemical properties, and easy composition with other materials via surface functional groups. Usually, GO is used as an important raw material for mass production of graphene via reduction. However, under different conditions, the coverage, types, and arrangements of oxygen-containing groups in GO can be varied, which give rise to excellent and controllable physical properties, such as tunable electronic and mechanical properties depending closely on oxidation degree, suppressed thermal conductivity, optical transparency and fluorescence, and nonlinear optical properties. Based on these outstanding properties, many electronic, optical, optoelectronic, and thermoelectric devices with high performance can be achieved on the basis of GO. Here we present a comprehensive review on recent progress of GO, focusing on the atomic structures, fundamental physical properties, and related device applications, including transparent and flexible conductors, field-effect transistors, electrical and optical sensors, fluorescence quenchers, optical limiters and absorbers, surface enhanced Raman scattering detectors, solar cells, light-emitting diodes, and thermal rectifiers.