Metal selenides as anode materials of lithium‐ion batteries (LIBs) has received considerable attention recently. In order to boost the electronic conductivity and alleviate the volume change of electrode materials upon the cycles, a facile strategy is employed in this work, where Prussian blue analogue (PBA) nanocubes are encapsulated into three‐dimensional (3D) network of graphene aerogel (GA), followed by a high‐temperature selenization treatment to isolate the composite of FeCoSe2@GA. The composite can be directly employed as free‐standing anode materials of LIBs. Studies reveal that the FeCoSe2@GA electrode demonstrates an intriguing cycle stability and rate capability with a specific capacity of ∼500 mAh g−1 at 100 mA g−1 after 100 cycles. The outstanding lithium‐storage properties can be attributed to the 3D porous feature as well as the strong confinement effect of GA for FeCoSe2 particles, which provides a large number of ion‐exchange channels, and prevents the severe agglomeration and large volume expansion of active particles during the charge/discharge process.