Nanoscale FeS₂ was synthesized via a simple hydrothermal method and was decorated by hydrothermal carbonization (FeS₂@C). The structural properties of the synthesized materials detected by X-ray diffraction (XRD), together with the morphologies characterized by scanning electron microscopy (SEM) and transmission electron microscopy (TEM) indicated that the hydrothermal carbonization only had an impact on the morphology of pyrite. Additionally, the electrochemical performance of the coated pyrite in Li/FeS₂ batteries was evaluated by galvanostatic discharge-charge tests and electrochemical impedance spectroscopy (EIS). The results showed that the initial capacity of FeS₂@C was 799.2 mAh·g−1 (90% of theoretical capacity of FeS₂) and that of uncoated FeS₂ was only 574.6 mAh·g−1. XRD and ultraviolet (UV) visible spectroscopy results at different depths of discharge-charge for FeS₂ were discussed to clarify the electrochemical mechanism, which play an important part in Li/FeS₂ batteries.