Long-time thermal batteries with high specific energy are crucial for improving the fast response ability of long-range weapons. Due to its high capacity, safety, and stability, the new sulfide cathode has attracted extensive attention. In this study, an FeS2@CoS2 composite cathode with a core-shell structure was prepared via a combination of hydrothermal and high-temperature vulcanization processes. The novel FeS2@CoS2 cathode not only delivers a high discharge voltage and output capacity, but also has high thermal stability and excellent conductivity. Benefiting from the synergistic effect of FeS2 and CoS2, the as-synthesized cathode yields a high specific capacity. At a large current density of 1 A/cm2, the utilization rate of FeS2@CoS2 cathode material can reach 72.33%, which is 8.23% higher than that of FeS2. Moreover, the maximum output capacity is up to 902 As/g, with a utilization rate of 79.02% at 500 mA/cm2. This novel design strategy holds great promise for the development and application of high-performance thermal batteries in the future.