The dual‐functional device combining electrochromic properties and energy storage has gained numerous attentions in the field of energy‐saving smart electronics. However, achieving simultaneous optimization of coloration efficiency and energy storage capacity of materials poses a significant challenge. This study presents a novel approach by incorporating methyl orange into Prussian blue channels (PB‐MO films) to adjust the internal electronic structure of Prussian blue. This modification allows the active layer to simultaneously improve the electrochromic and energy storage performance. The introduction of methyl orange not only alters the ratio of Fe3+/Fe2+ within the framework through the coordination reaction of Fe3+ with methyl orange, but also improves the reaction kinetics after intercalating organic dye molecules, including charge transfer resistance, diffusion capability of ions and capacitive contribution. The PB‐MO films demonstrate remarkable properties: high optical contrast (81.4% at 670 nm), excellent coloration efficiency (265 cm2 C−1), and significant specific capacity (84 mAh m−2 at 0.05 A m−2), outperforming pure PB films. The PB‐MO films are ideally suited for applications in displays and intelligent energy storage fields, boasting both high coloration efficiency and substantial energy storage capacity, thus advancing promote the development of dual‐functional electrochromic devices.