Flexible supercapacitors, which can sustain large deformations while maintaining normal functions and reliability, are playing an increasingly important role in portable electronic devices. Here we report the preparation of a three-dimensional α-Fe₂O₃/carbon nanotube (CNT@Fe₂O₃) sponge electrode with a porous hierarchical structure, consisting of a compressible, conductive CNT network, coated with a layer of Fe₂O₃ nanohorns. The specific capacitance of these hybrid sponges has been significantly improved to above 300 F g⁻¹, while the equivalent series resistance remains at about 1.5 Ω. The highly deformed CNT@Fe₂O₃ sponge retains more than 90% of the original specific capacitance under a compressive strain of 70% (corresponding to a volume reduction of 70%). The hybrid sponge still works stably and sustains a similar specific capacitance to the initial value even after 1000 compression cycles at a strain of 50%. The outstanding properties of this hybrid sponge make it a highly promising candidate for flexible energy devices.