In light of the impeding depletion of fossil fuels and necessity to lower carbon dioxide emissions, economically viable high-performance batteries are urgently needed for numerous applications ranging from electric cars to stationary large-scale electricity storage. Due to its low raw material cost, non-toxicity and potentially high charge-storage capacity pyrite (FeS2) is a highly promising material for such next-generation batteries. In this work we present the electrochemical performance of FeS2 nanocrystals (NCs) as lithium-ion and sodium-ion storage materials. First, we show that nanoscopic FeS2 is a promising lithium-ion cathode material, delivering a capacity of 715 mAhg-1 and average energy density of 1237 Whkg-1 for 100 cycles, twice higher than for commonly used LiCoO2 cathodes. Then we demonstrate, for the first time, that FeS2 NCs can serve as highly reversible sodium-ion anode material with long cycling life. As sodium-ion anode material, FeS2 NCs provide capacities above 500 mAhg-1 for 400 cycles at a current rate of 1000 mAg-1. In all our tests and control experiments, the performance of chemically synthesized nanoscale FeS2 clearly surpasses bulk FeS2 as well as large number of other nanostructured metal sulfides.