Recently, eco-friendly polyethylene glycol (PEG)-based lubricants have received extensive attention in lubrication as energy and environmental crises are aggravating increasingly. Unfortunately, the inherent defects, including relatively weak lubricating performance and single function, significantly limited their development. In this case, a multi-function integrated carbon dots-based lubricant additive (MF-CDs) with good anti-corrosion, anti-oxidation, friction-reducing, anti-wear, and load-supporting functions was creatively synthesized by a one-step pyrolysis method. As a fire-new lubricant additive, the multi-functional MF-CDs can endow the PEG200 lubricant with superior anti-corrosion and anti-oxidation performances effectively. Additionally, when the suitable concentrations of MF-CDs were introduced into the PEG200 lubricant, its friction-reducing, anti-wear, and load-supporting performances can be superlatively increased by 46.6%, 66.3%, and 100.0%, respectively, exhibiting great application prospects. Experimental results illustrated that the excellent tribological performances of MF-CDs are attributed to their terrific film-forming capacity and nanostructure-lubricated phenomenon. To sum up, MF-CDs as additives could systematically improve the multifarious performances of PEG-based lubricants, significantly expanding their applied range. Therefore, the corresponding research of this work is expected to reduce the types of lubricant additives and then decrease the lubrication cost of mechanical equipment markedly.