Fe3O4–graphene composites with three-dimensional laminated structures have been synthesised by a simple in situ hydrothermal method. From field-emission and transmission electron microscopy results, the Fe3O4 nanoparticles, around 3–15 nm in size, are highly encapsulated in a graphene nanosheet matrix. The reversible Li-cycling properties of Fe3O4–graphene have been evaluated by galvanostatic discharge–charge cycling, cyclic voltammetry and impedance spectroscopy. Results show that the Fe3O4–graphene nanocomposite with a graphene content of 38.0 wt % exhibits a stable capacity of about 650 mAh g−1 with no noticeable fading for up to 100 cycles in the voltage range of 0.0–3.0 V. The superior performance of Fe3O4–graphene is clearly established by comparison of the results with those from bare Fe3O4. The graphene nanosheets in the composite materials could act not only as lithium storage active materials, but also as an electronically conductive matrix to improve the electrochemical performance of Fe3O4.