Microwave-assisted synthesis allows stabilizing Fe-based fluoride compounds with hexagonal tungsten bronze (HTB) network. The determination of the chemical composition, i.e., FeF2.2(OH)0.8*(H2O)0.33, revealed a significant deviation from the pure fluoride composition, with a high content of OH groups substituting fluoride ions. Rietveld refinement of the X-ray diffraction data and Mössbauer spectroscopy showed that the partial OH/F substitution impact on the structure (interatomic distances, angles, and so on) and the local environment of iron (isomer shift and quadrupole splitting distribution). The thermal behavior of the hydroxyfluoride compound has been thoroughly investigated. From room temperature to 350 °C under Ar flow, the HTB-type structure remains stable without any fluorine loss and only water departure. At T > 350 °C, the structure started to collapse with a partitioning of anions leading to α-FeF3 and α-Fe2O3. Within 200 °C ≤ T ≤ 350 °C, the chemical composition can be tuned with different contents of OH-/O2- and structural water. By an adequate thermal treatment, it has been shown that anionic vacancies formed by dehydroxylation reaction could be stabilized within the HTB network yielding a compound containing three different anions, i.e., FeF2.2(OH)0.8-xOx/2□x/2. XRD Rietveld analysis, atomic pair distribution function, and Mössbauer spectroscopy confirmed the formation of under-coordinated iron FeX5□1 (X = O2-, F-, and OH-) atoms. Different compositions have been prepared by thermal treatment at T ≤ 350 °C and their electrochemical properties evaluated in lithium cell. Structural water seems to block the diffusion of lithium within the hexagonal cavities. Increasing the content of anionic vacancies significantly improves the reversible capacity emphasizing a peculiar role on electrochemical properties. Pair distribution functions obtained on lithiated and delithiated samples indicated that the HTB network was maintained (in the 2-4.2 V voltage range) during the intercalation processes.