In this paper, single-phase pyrite with different particle sizes is prepared by hydrothermal method with the reactants of Na2S, S, and FeSO4. Compared with natural pyrite powder, synthesized pyrite nanocubes with small particle sizes and fine distribution have lower resistance, higher specific capacity and power density during the discharging process. The enlarging contacting surface area of pyrite with electrolytes will reduce the concentration polarization caused by the discharging current and improve the utilization efficiency of the pyrite materials. When pulse currents are loaded, compared with natural pyrite single-cell thermal battery, synthetic ones have smaller voltage drops and higher power density during the pulse discharging process. Influences of particle sizes on the thermal stability of the pyrite powders have also been investigated.