The hybrid films composed of single-walled carbon nanotube (SWNT) macro-films and α-Fe2O3 nanoparticles in fine crystalline size (6–20 nm) are prepared by a simple heat treatment of the as-synthesized SWNT macro-films. The SWNT macro-films with superior conductivity and flexibility can facilitate the charge transfer processes as well as accommodate the volumetric change of the α-Fe2O3 nanoparticles due to the Li-intercalated phase transformations, enabling high specific capacities over 1000 mAh g−1 and an excellent cyclic stability up to 100 cycles for the α-Fe2O3/SWNT hybrid films. The increment of the capacity to approach the theoretical capacity of α-Fe2O3 during cycling results from the relaxed conversional reactions between the reduced and oxidized states of iron ions (Fe0, Fe(II) and Fe(III)). Experimental results have shown that the thickness of the hybrid films has a significant impact on the diffusion coefficient of Li+. With a thickness comparable to Li+ characteristic diffusion length in the range of 300–500 nm, the hybrid films exhibit an optimal electrochemical performance. The findings on the synthesis approach and the thickness effect provide a promising strategy for a large-scale production of high-performance anode materials for Li-ion batteries.