Fe2O3 wrapped by few layered graphene nanosheets composites (Fe2O3-FLG) have been synthesized via a facile and massive one-step P-milling method, which is effective in reducing the particle size of Fe2O3 and exfoliating the graphite into FLG. The composite shows good electrochemical performance due to the tight wrapping of FLG nanosheets, which is beneficial to electric conductivity and integrity of the electrode. The sample treated under 20 h retains a reversible capacity of 758 mAh g−1 at 200 mA g−1 after 300 cycles, which equals to 88% of its theoretic capacity. With the superior electrochemical performance, Fe2O3-FLG composites prepared via the P-milling method could be promising as anode materials for high performance lithium-ion batteries.