Core–multishelled structures with controlled chemical composition have attracted great interest due to their fascinating electrochemical performance. Herein, a metal–organic framework (MOF)‐on‐MOF self‐templated strategy is used to fabricate okra‐like bimetal sulfide (Fe7S8/C@ZnS/N‐C@C) with core–double‐shelled structure, in which Fe7S8/C is distributed in the cores, and ZnS is embedded in one of the layers. The MOF‐on‐MOF precursor with an MIL‐53 core, a ZIF‐8 shell, and a resorcinol–formaldehyde (RF) layer (MIL‐53@ZIF‐8@RF) is prepared through a layer‐by‐layer assembly method. After calcination with sulfur powder, the resultant structure has a hierarchical carbon matrix, abundant internal interface, and tiered active material distribution. It provides fast sodium‐ion reaction kinetics, a superior pseudocapacitance contribution, good resistance of volume changes, and stepwise sodiation/desodiation reaction mechanism. As an anode material for sodium‐ion batteries, the electrochemical performance of Fe7S8/C@ZnS/N‐C@C is superior to that of Fe7S8/C@ZnS/N‐C, Fe7S8/C, or ZnS/N‐C. It delivers a high and stable capacity of 364.7 mAh g−1 at current density of 5.0 A g−1 with 10 000 cycles, and registers only 0.00135% capacity decay per cycle. This MOF‐on‐MOF self‐templated strategy may provide a method to construct core–multishelled structures with controlled component distributions for the energy conversion and storage.