We investigate a modulator based on reduced graphene oxide (RGO) thermal conductive film and in-fiber optical Mach–Zehnder interferometer (MZI). MZI is fabricated by stretching single-mode fiber by high-temperature heating. The cone region of MZI is coated with RGO thermal conductive film, which is heated by electrothermal effect through silver electrodes. The heating of the heat-conducting film changes the effective refractive index of the optical fiber, which leads to a phase difference of MZI. Five channels are formed across C- and L-bands. The maximum shift of interference peak spectrum is more than 2 nm. Meanwhile, the device has a modulation phase shift with a nearly linear slope of 0.007  π  /  mW near the wavelength of 1555 nm, and an extinction ratio of 4 dB for optical switching with a rise (fall) time of 80 ms (70 ms) is achieved. The high-density integration and all-fiber structure enable the proposed device to have great potential in the miniaturization of optical devices.