The effect of annealing atmosphere on the supercapacitance behavior of iron oxide nanotube (Fe-NT) electrodes has been explored and reported here. Iron oxide nanotubes were synthesized on a pure iron substrate through an electrochemical anodization process in an ethylene glycol solution containing 3% H2O and 0.5 wt.% NH4F. Subsequently, the annealing of the nanotubes was carried out at 500 °C for 2 h in various gas atmospheres such as air, oxygen (O2), nitrogen (N2), and argon (Ar). The morphology and crystal phases evolved after the annealing processes were examined via field emission scanning electron microscopy, x-ray diffraction, Raman spectroscopy, and x-ray photoelectron spectroscopy. The electrochemical capacitance properties of the annealed Fe-NT electrodes were evaluated by conducting cyclic voltammetry (CV), galvanostatic charge-discharge, and electrochemical impedance spectroscopy tests in the Li2SO4 electrolyte. Based on these experiments, it was found that the capacitance of the Fe-NT electrodes annealed in air and O2 atmospheres shows mixed behavior comprising both the electric double layer and pseudocapacitance. However, annealing in N2 and Ar environments resulted in well-defined redox peaks in the CV profiles of the Fe-NT electrodes, which are therefore attributed to the relatively higher pseudonature of the capacitance in these electrodes. Based on the galvanostatic charge-discharge studies, the specific capacitance achieved in the Fe-NT electrode after annealing in Ar was about 300 mF cm(-2), which was about twice the value obtained for N2-annealed Fe-NTs and three times higher than those annealed in air and O2. The experiments also demonstrated excellent cycle stability for the Fe-NT electrodes with 83%-85% capacitance retention, even after many charge-discharge cycles, irrespective of the gas atmospheres used during annealing. The increase in the specific capacitance was discussed in terms of increased oxygen vacancies as a result of the enhanced transformation of the hematite (α-Fe2O3) phase to the magnetite (Fe3O4) phase for the electrodes annealed in the N2 and Ar atmospheres.