The design of new hybrid nanocomposites based on poly(2-hydroxyethylmethacrylate) (pHEMA) graphene oxide (GO) cryosponges, wherein ZnO nanolayers have been deposited to induce photocatalytic properties, is reported here. Atomic layer deposition at low temperature is specifically selected as the deposition technique to stably anchor ZnO molecules to the pendant polymer OH groups. Furthermore, to boost the pHEMA cryogel adsorption capability versus organic dyes, GO is added during the synthetic procedure. The morphology, the crystallinity, and the chemical composition of the samples are deeply investigated by scanning electron microscopy, transmission electron microscopy, X-ray diffraction analyses, Fourier transform infrared spectroscopy, and thermogravimetric analysis. Swelling properties, mechanical performance, and adsorption kinetics models of the hybrid materials are also evaluated. Finally, the adsorption and photocatalytic performance are tested and compared for all of the samples using methylene blue as a dye. Particularly, the adsorption efficiency of ZnO/pHEMA and ZnO/pHEMA-GO nanocomposites, as well as their in situ regeneration via photocatalysis, renders such devices very appealing for advanced wastewater treatment technology.