Sulfur cathodes have attracted much attention recently because of their high energy density and power density. However, sulfur possesses very poor electrical conductivity, and lithium polysulfides, resulting from the lithiation of sulfur, are prone to dissolving into electrolytes, which leads to the loss of active materials and poor cyclic performance of the sulfur cathodes. Here we report an MnO2-graphene oxide (GO) double-shelled sulfur (S@MnO2@GO) with improved rate capability and cyclic performance, in which we propose a new reaction using sulfur-reducing KMnO4 to produce MnO2 that covers the surface of the excess sulfur in situ. The resulting MnO2 with honeycomb-like morphology provides excellent voids for storing polysulfides. The outermost GO was assembled to block the open pores of MnO2, thereby minimizing the opportunity for polysulfides to leach into the electrolytes. The GO significantly improved the electrical conductivity of the sulfur cathode, and the S@MnO2@GO exhibited excellent rate capability and long cycle life.