Abstract Hierarchical functionalized multiwalled carbon nanotube (MWNT)/graphene structures with thicknesses up to tens of micrometers and relatively high density (>1 g cm −3 ) are synthesized using vacuum filtration for the positive electrode of lithium batteries. These electrodes, which are self‐standing and free of binder and current collectors, utilize oxygen functional groups for Faradaic reactions in addition to double‐layer charging, which can impart high gravimetric (230 Wh kg −1 at 2.6 kW kg −1 ) and volumetric (450 Wh L −1 at 5 kW L −1 ) performance. It is demonstrated that the gravimetric and volumetric capacity, capacitance, and energy density can be tuned by selective removal of oxygen species from as‐prepared functionalized MWNT/graphene structures with heat treatments in H 2 /Ar, potentially opening new pathways for the design of electrodes with controlled surface chemistry.