Fe₂O₃ nanodots supported on nitrogen-doped graphene sheets (denoted as Fe₂O₃ NDs@NG) with different loading masses are prepared through a facile one-pot solvothermal method. The resulting Fe₂O₃ NDs@NG composites exhibit outstanding electrochemical properties in aqueous KOH electrolyte. Among them, with the optimal loading mass of Fe₂O₃ NDs, the corresponding Fe₂O₃ NDs@NG-0.75 sample is able to deliver a high specific capacitance of 274 F g^–1 at 1 A g^–1 and the capacitance is still as high as 140 F g^–1 even at a ultrahigh current density of 50 A g^–1, indicating excellent rate capability. More remarkably, it displays superior capacitance retention after 100 000 cycles (about 75.3% at 5 A g^–1), providing the best reported long-term cycling stability for iron oxides in alkaline electrolytes to date. Such excellent electrochemical performance is attributed to the right combination of highly dispersed Fe₂O₃ NDs and appropriately nitrogen-doped graphene sheets, which enable the Fe₂O₃ NDs@NG-0.75 to offer plenty of accessible redox active sites, facilitate the electron transfer and electrolyte diffusion, as well as effectively alleviate the volume change of Fe₂O₃ NDs during the charge–discharge process.