Aerogel fibers have been recognized as the rising star in the fields of thermal insulation and wearable textiles. Yet, the lack of functionalization in aerogel fibers limits their applications. Herein, we report hygroscopic holey graphene aerogel fibers (LiCl@HGAFs) with integrated functionalities of highly efficient moisture capture, heat allocation, and microwave absorption. LiCl@HGAFs realize the water sorption capacity over 4.15 g g, due to the high surface area and high water uptake kinetics. Moreover, the sorbent can be regenerated through both photo-thermal and electro-thermal approaches. Along with the water sorption and desorption, LiCl@HGAFs experience an efficient heat transfer process, with a heat storage capacity of 6.93 kJ g. The coefficient of performance in the heating and cooling mode can reach 1.72 and 0.70, respectively. Notably, with the entrapped water, LiCl@HGAFs exhibit broad microwave absorption with a bandwidth of 9.69 GHz, good impedance matching, and a high attenuation constant of 585. In light of these findings, the multifunctional LiCl@HGAFs open an avenue for applications in water harvest, heat allocation, and microwave absorption. This strategy also suggests the possibility to functionalize aerogel fibers towards even broader applications.