Though lithium ion batteries have been developed very maturely, to continuously improve competitive electrode materials’ performances always makes sense. Specifically, iron sulfides have received special attentions because of their low cost, environmental benign, and high theoretical capacities. In this work, the walnut-like FeS2 microspheres wrapped with reduced graphene oxide (FeS2@rGO) composite is prepared by a facile one-pot hydrothermal method. With the addition of rGO, FeS2 microspheres show smaller sizes and better dispersion compared with pure FeS2. The inclusion of rGO is beneficial to relieve volume changes and alleviates the pulverization. The FeS2@rGO composite as anode material exhibits better electrochemical performance than most of the previous results. The initial discharge capacity can reach to 1640.9 mAh/g at 100 mA/g. After 100 cycles, there is still 1131 mAh/g capacity remained. Even at 1 A/g, FeS2@rGO delivers stable capacities above 800 mAh/g.