Electrode materials with low cost, large theoretical capacity, and fast ion/electron transport rate are highly desirable for capacitive applications. Pseudocapacitive iron oxide materials (e.g. Fe2O3, Fe3O4) satisfy the first two aspects, but are electrically/ionically insulating, hindering their practical applications in energy storage. Here, hybrid mesoporous iron oxide (Fe2O3/Fe3O4) materials are integrated with a three‐dimensional electrochemically exfoliated graphite substrate (EG) using an electro‐deposition coupled with a post‐chemical transition strategy. The hybrid Fe2O3/Fe3O4 materials on EG exhibit an ultra‐high specific capacitance of 1530 F g‐1 at current density of 1 A g‐1. This material with such high capacitance ranks on the top of the reported iron oxide materials for capacitive applications. In addition, the assembled device with EG@Fe2O3/Fe3O4 as anode can deliver a high gravimetric energy density of 21.6 Wh kg‐1 at a power density of 225 W kg‐1, based on the total mass of the two electrodes (including the mass of the current collectors). It can power various electronic devices, suggesting its great potential as an energy storage system for energy storage applications.