Potassium ion batteries (PIBs) have emerged as one of the most attractive alternatives to lithium‐ion batteries (LIBs) to satisfy the burgeoning energy demand. The continuous growth of solid electrolyte interphase (SEI) and consumption of potassium resources cause poor initial Coulombic efficiency (ICE), unstable cycling performance, and even safety issues. Herein, the fabrication of an artificial SEI of an ultrathin Al2O3 layer by atomic layer deposition (ALD) on a multi‐walled carbon nanotubes (MWCNTs) anode for high‐performance PIBs is reported. The SEI resistance and the charge transfer resistance in the MWCNTs electrode are significantly reduced according to electrochemical impedance spectroscopy (EIS) and galvanostatic intermittent titration (GITT) measurements. The MWCNT electrode with a 2‐nm Al2O3 layer exhibits a much higher ICE of up to 85.9% than that of the uncoated one (20.8 %). It also maintains a remarkably high reversible capacity of 284 mA h g−1 at 100 mA g−1 after 100 cycles. In particular, the anode delivers superior rate capability of 558, 303, 251, 203, and 154 mAh g−1 at a current density of 50, 100, 200, 400, and 800 mA g−1, respectively. This work offers an effective approach for fabricating PIBs with high ICE and electrochemical performance.