Based on the tungsten hydrate structure model, we report the strategy to fabricate hierarchically structured WO3·0.33H2O/graphene composites through a facile hydrothermal approach. The structure characteristics, conversion reaction mechanism as well as the electrochemical properties are carefully investigated. The hierarchical architectures assembled by nanorods or nanobricks of about 20 nm thickness combine the advantages of reduced length scale of Li ion diffusion derived from nanosizes and structural stability guaranteed by hierarchical features. In addition, compared with bare WO3·0.33H2O and anhydrous WO3, the WO3·0.33H2O/graphene composites exhibit the optimal performances with high rate capability and good cycle stability, which is attributed to synergistic effects of structural hydration and graphene: providing a more open charge transfer channel, forming a conductive pathway and accommodating the volume change. Such an improved lithium storage performance makes the graphene-based WO3·0.33H2O a promising anode candidate for lithium-ion battery applications.