The effect of graphene doping on the microstructure and superconducting properties of MgB<sub>2</sub> bulks has been examined in comparison with the case of un-doped MgB<sub>2</sub>. The correlations among annealing temperatures, microstructures and superconducting properties in graphene doped MgB<sub>2</sub> bulks were investigated. The phase, microstructure and superconductivity of MgB<sub>2</sub> were characterized by means of X-ray diffraction (XRD), scanning electron microscope (SEM) and superconducting quantum interference device (SQUID). It is found that the grapheme doping results in an obviously improvement of the critical current density. The highest critical current density reaches 1.8×10<sub>5</sub>A/cm<sub>2</sub> at 20 K and 1 T.