Nanostructured metal sulfides have been widely studied due to their unique electrical, chemical, magnetic and optical properties and the promising application prospects. Pyrite iron disulfide (FeS₂) receives high attention because of its suitable band gap, exceptionally high optical absorption coefficient in the visible region and the advantages of earth abundance, nontoxicity and low fabrication cost. It exhibits promising applications in photovoltaics, rechargeable batteries, dye-sensitized solar cells, photodetectors, photocapacitors and photocatalysis. This paper provides a comprehensive review of the FeS₂ nanostructures, including the preparation methods, properties and applications. We begin from a short background of FeS₂, describing the structure, fundamental physical, chemical and electronic properties. Then a detailed investigation of FeS₂ nanostructures with different shapes and the corresponding methods are described. Finally, the application prospects of FeS₂ nanostructures in plentiful novel devices are introduced.