As a result of its high‐energy density, metal–selenides have demanded attention as a potential energy‐storage material. But they suffer from volume expansion, dissolved poly‐selenides and sluggish kinetics. Herein, utilizing' thermal selenization via the Kirkendall effect, microspheres of NiSe2 confined by carbon are successfully obtained from the self‐assembly of Ni‐precursor/PPy. The derived hierarchical hollow architecture increases the active defects for sodium storage, while the existing double N‐doped carbon layers significantly alleviate the volume swelling. As a result, it shows ultrafast rate capability, delivering a stable capacity of 374 mAh g−1, even after 3000 loops at 10.0 A g−1. These remarkable results may be ascribed to the NiOC bonds on the interface of NiSe2 and the carbon film, which leads to the faster transfer of ions, the effective trapping of poly‐selenide, and the highly reversible conversion reaction. The kinetic analysis of cyclic voltammetry (CV) demonstrates that the electrochemical process is mainly dominated by pseudocapacitive behaviors. Supported by the results of electrochemical impedance spectroscopy (EIS), it is confirmed that the solid–electrolyte interface films are reversibly formed/decomposed during cycling. Given this, this elaborate work might open up a potential avenue for the rational design of metal‐sulfur/selenide anodes for advanced battery systems.