This paper reports the facile synthesis of a unique interleaved expanded graphite-embedded sulphur nanocomposite (S-EG) by melt-diffusion strategy. The SEM images of the S-EG materials indicate the nanocomposites consist of nanosheets with a layer-by-layer structure. Electrochemical tests reveal that the nanocomposite with a sulphur content of 60% (0.6S-EG) can deliver the highest discharge capacity of 1210.4 mAh g−1 at a charge–discharge rate of 280 mA g−1 in the first cycle, the discharge capacity of the 0.6S-EG remains as high as 957.9 mAh g−1 after 50 cycles of charge–discharge. Furthermore, at a much higher charge–discharge rate of 28 A g−1, the 0.6S-EG cathode can still deliver a high reversible capacity of 337.5 mAh g−1. The high sulphur utilization, excellent rate capability and reduced over-discharge phenomenon of the 0.6S-EG material are exclusively attributed to the particular microstructure and composition of the cathode.