Aerosol pyrolysis of Fe(CO)₅ in an atmosphere of sulfur vapor under a magnetic field is shown to controllably produce iron pyrite (FeS₂) three-dimensional nanochain networks. The formation processes of the FeS₂ nanochain networks are systematically studied: (1) thermal decomposition of Fe(CO)₅ followed by Fe nanoparticle assembly into one-dimensional chains and then three-dimensional networks under a magnetic field and (2) subsequent sulfurization in a sulfur vapor atmosphere to form a sponge-like thin film of FeS₂ nanochain networks. A control experiment performed in the absence of magnetic field yielded randomly packed FeS₂ nanoparticles, rather than the inter-connected nanochain networks. The nanochain networks and their surfactant-free surfaces brought about by our new synthesis will enable a host of photoelectric applications. For example, when used as the counter electrode in dye-sensitized solar cells, the FeS₂ nanochain networks are almost as efficient as noble Pt, and more impressively, their catalytic activity faded by only 8% even after 2000 cycles. This work opens up fresh opportunities to make smart use of earth-abundant materials in areas of sustainable energy and environment.