Although Fe₃O₄ has high capacity, its low conductivity and poor cycling stability have limited its application in supercapacitors. To address this issue, the core–shell structured Fe₃O₄@polypyrrole (Fe₃O₄@PPy) composite materials could be selectively prepared to improve the conductivity of hybrid materials. When used as an electrode material for supercapacitors, the resulting Fe₃O₄@PPy composite material shows a high specific capacitance of 290.2 F g⁻¹ at a current density of 1 A g⁻¹. To further improve the energy density, the asymmetric coin supercapacitor (Fe₃O₄@PPy//MoO₃) has been assembled and it exhibits a high energy density of 26.6 W h kg⁻¹ as well as a power density of 700 W kg⁻¹, which are much higher than those of the traditional capacitor. Moreover, the asymmetric coin supercapacitor presents excellent cycling stability with 84% of capacity retention after 5000 cycles. Therefore, the present method provides a promising strategy for the production of advanced electrode materials for supercapacitors.