Vertical heterostructures combining different layered materials offer novel opportunities for applications and fundamental studies. Here we report a new class of heterostructures comprising a single-layer (or bilayer) graphene in close proximity to a quantum well created in GaAs and supporting a high-mobility two-dimensional electron gas. In our devices, graphene is naturally hole-doped, thereby allowing for the investigation of electron-hole interactions. We focus on the Coulomb drag transport measurements, which are sensitive to many-body effects, and find that the Coulomb drag resistivity significantly increases for temperatures <5-10 K. The low-temperature data follow a logarithmic law, therefore displaying a notable departure from the ordinary quadratic temperature dependence expected in a weakly correlated Fermi-liquid. This anomalous behaviour is consistent with the onset of strong interlayer correlations. Our heterostructures represent a new platform for the creation of coherent circuits and topologically protected quantum bits.