ZnS–graphene composites (ZnSGO) were synthesized by a hydrothermal process and loaded onto carbon nanofibers (CNFs) by electrospinning (ZnS–GO/CNF), to obtain self-standing anodes for SIBs. The characterization techniques (XRPD, SEM, TEM, EDS, TGA, and Raman spectroscopy) confirm that the ZnS nanocrystals (10 nm) with sphalerite structure covered by the graphene sheets were successfully synthesized. In the ZnS–GO/CNF anodes, the active material is homogeneously dispersed in the CNFs’ matrix and the ordered carbon source mainly resides in the graphene component. Two self-standing ZnS–GO/CNF anodes (active material amount: 11.3 and 24.9 wt%) were electrochemically tested and compared to a tape-casted ZnS–GO example prepared by conventional methods (active material amount: 70 wt%). The results demonstrate improved specific capacity at high C-rate for the free-standing anodes compared to the tape-casted example (69.93 and 92.59 mAh g−1 at 5 C for 11.3 and 24.9 wt% free-standing anodes, respectively, vs. 50 mAh g−1 for tape-casted). The 24.9 wt% ZnS–GO/CNF anode gives the best cycling performances: we obtained capacities of 255–400 mAh g−1 for 200 cycles and coulombic efficiencies ≥ 99% at 0.5 C, and of 80–90 mAh g−1 for additional 50 cycles at 5 C. The results suggest that self-standing electrodes with improved electrochemical performances at high C-rates can be prepared by a feasible and simple strategy: ex situ synthesis of the active material and addition to the carbon precursor for electrospinning.