Self-assembled α-Fe2O3 mesocrystals/graphene nanohybrids have been successfully synthesized and have a unique mesocrystal porous structure, a large specific surface area, and high conductivity. Mesocrystal structures have recently attracted unparalleled attention owing to their promising application in energy storage as electrochemical capacitors. However, mesocrystal/graphene nanohybrids and their growth mechanism have not been clearly investigated. Here we show a facile fabrication of short rod-like α-Fe2O3 mesocrystals/graphene nanohybrids by self-assembly of FeOOH nanorods as the primary building blocks on graphene under hydrothermal conditions, accompanied and promoted by concomitant phase transition from FeOOH to α-Fe2O3. A systematic study of the formation mechanism is also presented. The galvanostatic charge/discharge curve shows a superior specific capacitance of the as-prepared α-Fe2O3 mesocrystals/graphene nanohybrid (based on total mass of active materials), which is 306.9 F g−1 at 3 A g−1 in the aqueous electrolyte under voltage ranges of up to 1 V. The nanohybrid with unique sufficient porous structure and high electrical conductivity allows for effective ion and charge transport in the whole electrode. Even at a high discharge current density of 10 A g−1, the enhanced ion and charge transport still yields a higher capacitance (98.2 F g−1), exhibiting enhanced rate capability. The α-Fe2O3 mesocrystal/graphene nanohybrid electrode also demonstrates excellent cyclic performance, which is superior to previously reported graphene-based hematite electrode, suggesting it is highly stable as an electrochemical capacitor.