In this paper, graphene oxide (GO) modified microcapsules have been developed for use in self-healing Cardanol-based epoxy anti-corrosion coatings on steel substrates. The microcapsules had a polymethyl methacrylate (PMMA) shell, covered with aminated GO flakes and contained either of the two complementary healing agents mixed with nanosized GO flakes. One set of capsules contained epoxidized nanosized GO and Cardanol-based epoxy resin, while the other contained aminated nanosized GO and Cardanol-based amine curing agent. The microcapsules had a narrow size distribution with a peak value of 4 μm. The Cardanol-based coatings containing various fractions of up to 20 wt% microcapsules in their stoichiometric ratio showed excellent anti-corrosion and self-healing properties. FT-IR, XPS, AFM, and Raman spectroscopy were used to characterize the size and chemical composition of the GO. Optical microscopy and SEM were used for morphological characterization. Double cantilever test upon bulk samples showed an excellent load transfer across the fracture plane after only 1 day curing at room temperature. The anti-corrosion properties of the Cardanol-based coating containing the two-component microcapsules were tested using electrochemical impedance spectroscopy (EIS). It was found that, after 60-day immersion in 3.5 wt% NaCl solution, the low-frequency impedance modulus |Z|_0.01Hz of the Cardanol-based coating containing GO-modified microcapsules was three orders of magnitude higher than that of the systems with capsules without GO. After scratching the coating containing 20 wt% GO-modified microcapsules and exposing it to an aqueous 3.5 wt% NaCl solution, the |Z|_0.01Hz of the Cardanol-based coating returned over a period of 7 days to the original value.