A new class of ternary heterostructures consisting of a reduced graphene oxide, molybdenum disulfide, and tungsten disulfide (rGO‐MoS2‐WS2) is prepared through a simple chemical method. According to Raman and X‐ray photoelectron spectroscopy, a MoS2/WS2 heterostructure is uniformly formed on the conductive rGO support. Furthermore, rGO‐MoS2‐WS2 possesses s large surface area of 109 m2 g−1 and a hierarchical pore architecture. When serving as the electrode for supercapacitors, rGO‐MoS2‐WS2 exhibits pseudocapacitive behavior in a KOH solution. It is found that rGO‐MoS2‐WS2 displays a specific capacitance (Cs) of 365 F g−1 at 1 A g−1, which is much higher than those of single TMD (MoS2 or WS2)‐based composites. The enhanced electrochemical performance of rGO‐MoS2‐WS2 is attributed to the lower internal resistance through heterostructure formation, the wide range of TMD oxidation states, and uniform distribution of the few‐layered TMD nanosheets on the rGO surface. Furthermore, the optimal loading amount of MoS2/WS2 heterostructure in the composite is investigated. To demonstrate its practical application, rGO‐MoS2‐WS2 is used as a positive electrode for an asymmetric supercapacitor (ASC). The maximum energy density of the ASC device is 15 Wh kg−1 at a power density of 373 W kg−1. Furthermore, the device remains approximately 70 % of the initial Cs value after 3000 cycles, which shows the excellent cycling stability.