Polyoxometallates (POMs) are ideal candidates for energy storage because of their multi‐electron transfer. (n‐Bu4N)3PW12O40 (TBA‐PW) and Cs3PW12O40 (Cs‐PW), prepared by proton‐exchange with tetrabutylammonium (TBA+) and cesium (Cs+) from H3PW12O40, suffer from serious capacity fading, owing to the contained crystal water. The presence of water in POMs is well known, but its effect on electrochemical performance is not reported yet. In contrast to TBA‐PW, Cs‐PW has a higher thermal stability and can be treated at 600 °C, which allows the complete water removal (Cs‐PW‐600). Cs‐PW‐600 has a 15‐times better cycling performance than the one dried at 120 °C. Different pressures were applied to optimize the electrode fabrication. Samples treated at 8 tons show a three‐times better rate capability with respect to the unpressed sample, with 42.8 % retention of the capacity at 200 mA g−1. Cs‐PW‐600 can be seen as an example for further investigations on POMs as electrode materials.