Hollow α-Fe₂O₃ microcubes were fabricated by a facile hydrothermal method in an ethanol–water co-solvent system. The as-synthesized microcubes have a uniform size with an edge length of about 1.5 μm. Time and solvent proportion dependent experiments reveal that the ethanol adsorption and surface-protected etching mechanisms play key roles in the formation hollow cubic structures. Compared with their solid counterparts, hollow α-Fe₂O₃ microcubes show an enhanced electrochemical performance in terms of long-term cycling (458 mA h g⁻¹ at a current density of 100 mA g⁻¹ after 100 cycles) and high rate capability (859, 855, 688 and 460 mA h g⁻¹ at current densities of 100, 200, 500 and 1000 mA g⁻¹, respectively). These remarkable electrochemical properties can be attributed to the unique hollow microstructure, which could retain structural stability, relieve stress and increase reaction areas.