Yolk–shell structured transition metal compounds have intrinsic structural advantages as anode materials and have been synthesized in a highly crystalline form. Thus, development of a synthesis process for a yolk–shell structure with an amorphous state, that displays high structural stability and fast ionic diffusion, is a notable research subject, with wide applications in fields such as energy storage. Herein, a novel approach for synthesizing amorphous materials with a yolk–shell structure using several facile phase transformation processes is presented. Crystalline iron oxide microspheres with a yolk–shell structure were formed by oxidation of the spray-dried product at 400 °C. Using the pitch/tetrahydrofuran solution infiltration method, pitch-infiltrated iron oxide was selenized at 350 °C to form a crystalline iron selenide–C composite. The following partial oxidation process at 375 °C produced a yolk–shell structured amorphous iron oxide–selenite composite. The amorphous characteristics, the yolk–shell structure, and the formation of a heterostructured interface from iron selenite during the initial cycle contributed to high electrochemical kinetic properties and excellent cycling performance of the iron oxide–selenite composite. The amorphous iron oxide–iron selenite yolk–shell microspheres exhibited enhanced reversible capacities, cycling stability, and remarkable electrochemical kinetic properties when compared to crystalline iron oxide.