A new type of nanostructured material that combines the advantages of metal oxides, metal selenides, and graphitic carbon (GC) as an anode material for lithium-ion batteries is studied. Porous composite microspheres with unique yolk–shell structured FeSe₂–Fe₂O₃ nanospheres and GC are synthesized by selenization and subsequent partial oxidation using a highly porous carbon template. The selenization of amorphous carbon (AC) microspheres impregnated with ferric nitrate forms FeSe₂–GC–AC microspheres. Some of the AC transforms into highly conductive GC because of the presence of the metallic Fe nanocatalyst formed as an intermediate product during selenization. In the partial oxidation step, FeSe₂ nanocrystals transform into yolk–shell structured FeSe₂–Fe₂O₃ nanospheres by nanoscale Kirkendall diffusion, and most of the AC is decomposed into gas. Highly porous FeSe₂–Fe₂O₃–GC microspheres show a better lithium-ion storage performance than similarly structured carbon-free Fe₂O₃ microspheres. The discharge capacity of the FeSe₂–Fe₂O₃–GC composite in the 1000^th cycle at a current density of 1 A g⁻¹ is as high as 770 mA h g⁻¹, and the capacity retention measured from the second cycle is 83%.