Alloying‐type materials are promising anodes for sodium storage due to high specific capacities and appropriate redox potentials, but their practical application is impeded by rapid capacity decay from volume change during sodium ion insertion/extraction. Hence, a dual‐type N‐doped carbon‐confined antimony (Sb) nanoparticle (Sb@DNC, where DNC contains an outer N‐doped carbon armor and an inner N‐doped grid‐like carbon skeleton) anode material is fabricated via a self‐sacrificial etching strategy to address this challenge. Specifically, the dual‐type N‐doped carbon matrix can prevent the agglomeration and precipitation of Sb particles, increase a large number of reactive active sites, alleviate severe volume expansion/contraction, and construct a highly interconnected electron/ion transport network. Benefiting from the exquisite structure, the Sb@DNC electrode exhibits excellent cycling stability (2400 cycles at 1.0 A g−1) and astonishing high‐rate performance (331.0 mAh g−1 at 10.0 A g−1). Additionally, the state‐of‐the‐art in/ex situ technologies reveals the sodium storage mechanism of the “battery‐capacitance dual‐mode” and the origin of the ability to withstand continuous volumetric strain for the Sb@DNC electrode. Finally, the derived sodium‐ion full cell presents outstanding practical potential. This work emphasizes the great significance of rational structural engineering strategies in the field of alloy‐type anode materials for high‐performance sodium‐ion batteries.