Iron pyrite (FeS2) holds an enormous potential as a low cost and non-toxic photoelectrochemical and energy-harvesting material owing to its interesting optical, electronic, and chemical properties along with elemental abundance. In this Review, low cost and scalable processing techniques to synthesize phase-pure pyrite thin films and nanocubes are described, and the application of this material in various energy-harvesting devices such as dye-sensitized solar cells, photodiodes, and heterojunction solar cells is discussed. A detailed analysis of the electron transport in single-crystal iron pyrite is presented to shed light on its bulk- and surface-conduction properties, which could be useful in designing better pyrite solar cells and could be exploited for novel device architectures. Finally, future prospects and directions are discussed.