There is an urgent need to develop flexible yarn-type supercapacitors with excellent electrochemical and mechanical properties for flexible energy storage devices in portable and wearable electronics. In this study, graphene oxide (GO) nanosheets and polyacrylonitrile (PAN)-GO nanofibres were coated on the surface of Ni-plated cotton yarn (NCY) via conjugate electrospinning technology, followed by chemical deposition of a polypyrrole (PPy) layer through in situ polymerisation of pyrrole, obtaining a flexible wearable PPy@GO/PAN-GO@Ni-coated cotton core-spun yarn (PGPG/NCY) electrode. The synergetic effect of NCY, GO/PAN-GO nanofibres, and PPy nanoparticles imparted a hierarchically porous structure, good conductivity, and high tensile strength (71.43 MPa) to this electrode. A flexible symmetric all-solid-state two-ply yarn supercapacitor based on PGPG/NCY electrodes was assembled. This yarn supercapacitor exhibited a high areal specific capacitance (28.34 mF cm−2) and high energy density (3.98 μWh cm−2), which are superior to those of other yarn supercapacitors. The capacitance retention of this yarn supercapacitor remained at 90.2% after 1000 cyclic voltammetry cycles and 100% at different bending angles; the yarn supercapacitor exhibited high electrochemical performance and cycling stability. Thus, the proposed high-performance yarn supercapacitor based on PGPG/NCY electrodes is promising and widely applicable in wearable devices.