In this study, pure ZnO microbullets, ZnO–ZnFe2O4 composite, and ZnO–Fe2O3–ZnFe2O4 composite with micron structured balloons, rods, and particles were prepared by a simple solvent thermal process using methanol or ethanol as solvents. The influence of solvents on the composition and morphology of the products was studied, and their gas-sensing properties were also investigated. The morphology of ZnO microbullets synthesized in ethanol is similar to but more uniform than that of ZnO microbullets synthesized in methanol. The Fe-doped ZnO synthesized in ethanol contains many micron particles homogeneously dispersing on the surface of the microbullets, which is composed of hexagonal wurtzite ZnO and franklinite ZnFe2O4, while Fe-doped ZnO prepared in methanol consists of micron structured balloons, rods, and particles, which is composed of hexagonal wurtzite ZnO, hematite Fe2O3, and franklinite ZnFe2O4. Compared with pure ZnO and ZnO–ZnFe2O4 composite, the ZnO–Fe2O3–ZnFe2O4 composite presented high response, rapid response/recovery characteristics, good selectivity, and excellent stability to acetone at relatively low operating temperature of 190 °C. This sensor could detect acetone in wide range of 1–1000 ppm, which was expected to be a promising gas sensor for detecting acetone.