The interaction between two different materials can present novel phenomena that are quite different from the physical properties observed when each material stands alone. Strong electronic correlations, such as magnetism and superconductivity, can be produced as the result of enhanced Coulomb interactions between electrons. Two-dimensional materials are powerful candidates to search for the novel phenomena because of the easiness of arranging them and modifying their properties accordingly. In this work, we report magnetic effects in graphene, a prototypical non-magnetic two-dimensional semi-metal, in the proximity with sulfur, a diamagnetic insulator. In contrast to the well-defined metallic behaviour of clean graphene, an energy gap develops at the Fermi energy for the graphene/sulfur compound with decreasing temperature. This is accompanied by a steep increase of the resistance, a sign change of the slope in the magneto-resistance between high and low fields, and magnetic hysteresis. A possible origin of the observed electronic and magnetic responses is discussed in terms of the onset of low-temperature magnetic ordering. These results provide intriguing insights on the search for novel quantum phases in graphene-based compounds.