Prussian blue (PB) and its analogues are recognized as promising cathodes for rechargeable batteries intended for application in low‐cost and large‐scale electric energy storage. With respect to PB cathodes, however, their intrinsic crystal regularity, vacancies, and coordinated water will lead to low specific capacity and poor rate performance, impeding their application. Herein, nanocubic porous NaxFeFe(CN)6 coated with polydopamine (PDA) as a coupling layer to improve its electrochemical performance is reported, inspired by the excellent adhesive property of PDA. As a cathode for sodium‐ion batteries, the NaxFeFe(CN)6 electrode coupled with PDA delivers a reversible capacity of 93.8 mA h g−1 after 500 cycles at 0.2 A g−1, and a discharge capacity of 72.6 mA h g−1 at 5.0 A g−1. The sodium storage mechanism of this NaxFeFe(CN)6 coupled with PDA is revealed via in situ Raman spectroscopy. The first‐principles computational results indicate that FeII sites in PB prefer to couple with the robust PDA layer to stabilize the PB structure. Moreover, the sodium‐ion migration in the PB structure is enhanced after coating with PDA, thus improving the sodium storage properties. Both experiments and computational simulations present guidelines for the rational design of nanomaterials as electrodes for energy storage devices.