Self-assembled graphene coupled hollow-structured γ-Fe₂O₃ spheres (SHFS) were synthesized using a simple hydrothermal method combined with an easy annealing route. In the SHFS crystals, α-Fe₂O₃ completely transformed into γ-Fe₂O₃ upon annealing at 500 °C under N₂ atmosphere. SHFS-500 was also found to have a high specific surface area of 198 m² g⁻¹ and to have the characteristics of a good supercapacitor electrode material, an ultrahigh specific capacitance of 332.7 F g⁻¹ at a current density of 2 A g⁻¹, good rate capability, and excellent cycling stability. This enhanced electrochemical performance may be due to the optimal architecture of the hollow-structured γ-Fe₂O₃ as a result of the extraordinary electrical conductivity of graphene sheets combined with the easy annealing at 500 °C.