Tungstates $A$WO$_4$ with the wolframite structure characterized by the $A$O$_6$ octahedral zigzag chains along the $c$-axis, can be magnetic if $A$=Mn, Fe, Co, Cu, Ni. Among them, MnWO$_4$ is a unique member with a cycloid Mn$^{2+}$ spin order developed at low temperature, leading to an interesting type-II multiferroic behavior. However, so far no other multiferroic material in the tungstate family has been found. In this work, we present the synthesis and the systematic study of the double tungstate LiFe(WO$_4$)$_2$. Experimental characterizations including structural, thermodynamic, magnetic, neutron powder diffraction, and pyroelectric measurements, unambiguously confirm that LiFe(WO$_4$)$_2$ is the secondly found multiferroic system in the tungstate family. The cycloidal magnetism driven ferroelectricity is also verified by density functional theory calculations. Although here the magnetic couplings between Fe ions are indirect, namely via the so-called super-super-exchanges, the temperatures of magnetic and ferroelectric transitions are surprisingly much higher than those of MnWO$_4$.