The electrochemical studies of anhydrous K₄Fe(CN)₆ is reported. Anhydrous material was produced after dehydrating K₄Fe(CN)₆.3H₂O crystal at 200°C in an open atmosphere. The material, as obtained, was characterized by various spectroscopic techniques, such as UV-Visible, FTIR, powder X-ray diffraction and FESEM-EDX. Electrochemical and Li⁺/K⁺ ion exchange behaviour of the synthesized material were studied by cyclic voltametry (CV), chronoamperometry (CA) and galvanostatic charge-discharge method after preparing a laboratory model cell against lithium anode instead of potassium. During anodic scan in the 1^st cycle, peak maximum was observed at 3.93 V vs. Li⁺/Li due to removal of K⁺ ions from the ferrocyanide matrix, whereas, in the reverse scan (cathodic sweep) as well as in consequent cycles, peak maxima due to Li+ ion insertion and extraction were observed at 2.46 V and 3.23 V vs. Li⁺/Li, respectively. Cell, assembled using ferrocyanide cathode and lithium anode, shows an open circuit potential of 3.08 V and delivers a maximum capacity of 61 mAh g^-1 (theoretical capacity 72 mAh g^-1) at a rate of 0.2 C at room temperature.