The prevailing practice advocates pre‐oxidation of electrospun Fe‐salt/polymer nanofibers (Fe‐salt/polymer Nf) before pyrolysis as advantageous in the production of high‐performance FeOx@carbon nanofibers supercapacitors (FeOx@C). However, our study systematically challenges this notion by demonstrating that pre‐oxidation facilitates the formation of polydispersed and large FeOx nanoparticles (FeOx@CI‐DA) through "external" Fe3+ Kirkendall diffusion from carbon, resulting in subpar electrochemical properties. To address this, direct pyrolysis of Fe‐salt/polymer Nf is proposed, promoting "internal" Fe3+ Kirkendall diffusion within carbon and providing substantial physical confinement, leading to the formation of monodispersed and small FeOx nanoparticles (FeOx@CDA). In 1 M H2SO4, FeOx@CDA demonstrates ~2.60x and 1.26x faster SO42‐ diffusivity, and electron transfer kinetics, respectively, compared to FeOx@CI‐DA, with a correspondingly ~1.50x greater effective surface area. Consequently, FeOx@CDA exhibits a specific capacity of 161.92 mAhg‐1, ~2x higher than FeOx@CI‐DA, with a rate capability ~19% greater. Moreover, FeOx@CDA retains 94% of its capacitance after 5000 GCD cycles, delivering an energy density of 26.68 Whkg‐1 in a FeOx@CDA//FeOx@CDA device, rivaling state‐of‐the‐art FeOx/carbon electrodes in less Fe‐corrosive electrolytes. However, it is worth noting that the effectiveness of direct pyrolysis is contingent upon hydrated Fe‐salt. These findings reveal a straightforward approach to enhancing the supercapacitance of FeOx@C materials.