Foldable supercapacitors are desired for the next generation of wearable electronics. In this study, highly foldable graphene sponges with a honeycomb structure are prepared at 300 degrees C using the convenient thermal exfoliation process. A slow heating rate (5-10 degrees C-min(-1)) around 200 degrees C and an external confinement force are critical to a favorable exfoliation degree and uniform thickness of the graphene sponges. After being annealed at 1050 degrees C for 1 h, the conductivity of the graphene sponge has been improved from 2700 to 6900 S.m(-1) without degrading its flexibility. The capacitance of the annealed graphene sponge has been measured in an aqueous electrolyte solution of 1 M Na2SO4. Its best capacitance is 138.74 F.g(-1), and it reduces by 3.6% at a half-fold state and by 8.9% at a quarter-fold state.