The engineering of various nanocomposites is a promising strategy to address the dramatic volume variation of silicon-based anodes for lithium ion batteries. However, most anode electrodes fabricated under this strategy are somehow hindered for commercial applications due to the relatively low volumetric capacity of the electrodes. Here, we have just developed a novel electrode configuration consisting a pore size-graded thick CNT–Si film with a high reversible volumetric capacity up to 4033mAh/cm3 at a current density of 210mA/g. Furthermore, the resultant electrode exhibits outstanding cycling stability, with a capacity of more than ~3000mAh/cm3 after 200 cycles at 840mA/g, and high rate capability of 2000mAh/cm3 at 8400mA/g. The excellent lithium storage performance can be mainly attributed to the pore size-graded structure design of the thick film.