Developing anode‐free batteries is the ultimate goal in pursuit of high energy density and safety. It is more urgent for sodium (Na)‐based batteries due to its inherently low energy density and safety hazards induced by highly reactive Na metal anodes. However, there is no electrolyte that can meet the demanding Na plating‐stripping Coulomb efficiency (CE) while resisting oxidative decomposition at high voltages for building stable anode‐free Na batteries. Here, a “liquid‐in‐solid” electrolyte design strategy is proposed to integrate target performances of liquid and solid‐state electrolytes. Breaking through the Na+ transport channel of Na‐containing zeolite molecular sieve by ion‐exchange and confining aggregated liquid ether electrolytes in the nanopore and void of zeolites, it achieves excellent high‐voltage stability enabled by solid‐state zeolite electrolytes, while inheriting the ultra‐high CE (99.84%) from liquid ether electrolytes. When applied in a 4.25 V‐class anode‐free Na battery, an ultra‐high energy density of 412 W h kg−1 (based on the active material of both cathodes and anodes) can be reached, which is comparable to the state‐of‐the‐art graphite||LiNi0.8Co0.1Mn0.1O2 lithium‐ion batteries. Furthermore, the assembled anode‐free pouch cell exhibits excellent cycling stability, and a high capacity retention of 89.2% can be preserved after 370 cycles.