Three-dimensional CNT/Graphene nanostructure is consisted of vertically aligned carbon nanotube pillars grown directly on parallel graphene layers. The effect of graphene layer thickness on mechanical properties of the 3D nanostructure is analyzed. Overall, when the graphene layers experience the out-of-plane loading, the effective properties (Young's modulus, shear modulus, and major Poisson's ratio) of the 3D CNT/Graphene structure are significantly dependent upon the thickness of graphene layers. When the graphene layers experience the in-plane loading, the effective properties of the 3D CNT/Graphene structure depend upon the graphene thickness initially and then remain relatively unchanged as the thickness increases. It is found that the optimal performance of the 3D CNT/Graphene structure requires a minimum of thickness for the graphene layers, g/t > 5.