Here, a novel architecture of a core–shell structured FeF₃@Fe₂O₃ composite with particle size of 100–150 nm and tunable Fe₂O₃ content is synthesized by a simple heat treatment process utilizing FeF₃ with fine network structure as precursor. The structure, morphology and electrochemical performance of the pristine FeF₃ and the FeF₃@Fe₂O₃ composites are studied by XRD, SEM, TEM and discharge–charge measurements. XRD results show that the Bragg peaks of the FeF₃@Fe₂O₃ composites are well indexed to FeF₃ and Fe₂O₃. SEM and TEM images reveal the core–shell structure of the composites. The comparison of the electrochemical performance between the pristine FeF₃ and the FeF₃@Fe₂O₃ composites reveals that the in situ Fe₂O₃ coating (even with small amount, 0.6–5.2 wt%) has great influence on the improvement of electrochemical performance.