Iron oxide nanoparticles, including magnetite, maghemite and hematite, are promising electrode active materials for lithium ion batteries due to their low cost, high capacity and environmental friendliness. Though the electrochemical properties of each kind of iron oxide nanoparticles have been intensively studied, systematic comparison of the three kinds of iron oxides is hardly reported. This paper reports the study and comparison of the electrochemical properties of magnetite, maghemite and hematite nanoparticles with the same shape and size. In this work, hematite and maghemite nanoparticles were obtained from commercial magnetite nanoparticles by thermal treatments at different conditions. Their crystalline structures were characterized by X-ray diffraction (XRD), their magnetic properties were measured by a vibration sample magnetometer (VSM), and their particle morphologies were analyzed by scanning electron microscopy (SEM). Composite electrodes were made from iron oxide nanoparticles with carbon black as the conducting material and PVDF as the binding material (iron oxide : carbon black : PVDF = 70 : 15 : 15). Prototype lithium ion batteries (CR2032 button cells) were assembled with iron oxide composite electrodes as cathodes, metal lithium as anodes, and Celgard 2400 porous membrane as separators. The impedance and discharge-charge behaviors were characterized by a Solartron electrochemical workstation and an Arbin battery tester, respectively. It was found that at the same shape and size, hematite nanoparticles has higher specific discharge and charge capacities than magnetite and maghemite nanoparticles.