FeF3·3H2O, FeF3·0.33H2O, and FeF3 have been synthesized via a liquid-phase method followed by heat treatment at different temperatures. The structure and performance of these iron fluorides have been characterized by X-ray diffraction (XRD), scanning electron microscopy (SEM), high-resolution transmission electron microscopy (HRTEM), selected-area electron diffraction (SAED), charge–discharge test, cyclic voltammetry (CV), electrochemical impedance spectroscopy (EIS) and galvanostatic intermittent titration technique (GITT). Though FeF3·3H2O, FeF3·0.33H2O, and FeF3 have different crystalline structures, they can achieve the identical reversible electrochemical conversion reaction from Fe3+ to Fe0 in the wide voltage range (1.0–4.5 V vs. Li+/Li). Among these three iron fluorides, FeF3·0.33H2O shows the best electrochemical performance. Moreover, ball milling with acetylene black combined with limiting cut-off voltage can further improve its electrochemical performance. FeF3·0.33H2O/C composite delivers excellent electrochemical performance in the voltage range of 2.0–4.5 V. Its capacity retentions remain as high as 83.8% and 83.3% after 100 cycles at 0.1 and 5 C, respectively. This study suggests a potential feasibility to prepare the optimal crystal structure of iron fluorides as high-performance cathode material for lithium-ion batteries.