The catalytic activities of pyrite in the heterogeneous Photo-Fenton processes for oxidation of methylene blue (MB) were systematically investigated. Experimental results revealed that nearly 100% MB (50 mg/L)could be completely degraded after 20 min under the optimum conditions. The excellent oxidation ability could be attributed to the photocatalytic activity of pyrite under visible light illumination, and the Fenton catalytic reaction occurring at the surface of FeS₂ together with dissolved iron ions in the aqueous phase. Most importantly, the FeS₂ nanoparticles assembled on graphene sheets were synthesized via a one-step solvothermal method with higher photocurrent response, reduced charge transferring resistance, and superior cycling stability. The obtained materials were also characterized by XRD, SEM, TEM, XPS, TG, and ESR for structural, morphological, chemical, and reaction mechanism studies.