A composite of pyrite FeS2 microspheres wrapped by reduced graphene oxide (FeS2/rGO) has been synthesized by a facile one-step solvothermal method and applied as anode in lithium ion batteries (LIBs). Impedance measurements and transmission electron microscopy show that incorporation of rGO significantly decreases the charge transfer resistance and improves the structural stability of the composite. As an anode material for a LIB, the composite exhibits a high capacity of 970 mA h g-1 at a current density of 890 mA g-1 after 300 cycles. Additionally, this composite anode shows impressive performance especially at high current densities. The LIB shows a capacity of 380 mA h g-1 even at a high current density of 8900 mA g-1 (10 C) over 2000 cycles, demonstrating its potential for applications in LIBs with long cycling life and high power density.