O3‐type NaNi0.8Mn0.1Co0.1O2 (NaNMC811) cathode active materials for sodium–ion batteries (SIBs), with a theoretical high specific capacity (∼ 187 mAh g−1), are in the preliminary exploration stage. This study comprehensively investigates NaNMC811 from multiple perspectives. For the first time, the phase evolution ( ‐ ‐ ) during the solid‐state synthesis is systemically investigated, which elucidates in‐depth the mechanisms of the thermal sodiation process. Furthermore, an Al‐gradient doping of NaNMC811 was successfully implemented through Al2O3 coating on the cathode active material (CAM) precursor. The modified Al−NaNi0.8Mn0.1Co0.1O2 (Al‐NaNMC811) exhibits excellent electrochemical dynamics and performance, maintaining a specific capacity above 100 mAh g−1 after 100 cycles at 0.1 C (1.5–4.1 V) while providing a promising capacity retention of 63%. Additionally, the material demonstrates excellent rate capabilities, retaining a specific capacity of 107 mAh g−1 at 5 C. Compared to pristine NaNMC811, the modified Al‐NaNMC811 is proven to have improved electrochemical kinetics with a higher Na+ diffusion coefficient due to dilated (003) interplanar spacing, and a more stable structure during the electrochemical charge–discharge processes, which is attributed to stronger Al–O bond energy. Understanding phase formations during the synthesis and comprehensive insight in the gradient doping for O3‐type NaNMC811 CAMs guides further development of next‐generation SIBs materials.