Let $\Gamma$ be a graph. Under suitable geometric assumptions on $\Gamma$, we give several equivalent characterizations of Sobolev and Hardy-Sobolev spaces on $\Gamma$, in terms of maximal functionals, Haj\l asz type functionals or atomic decompositions. As an application, we study the boundedness of Riesz transforms on Hardy spaces on $\Gamma$. This gives the discrete counterpart of the corresponding results on Riemannian manifolds.