Metal oxalate has become a most promising candidate as an anode material for lithium‐ion and sodium‐ion batteries. However, capacity decrease owing to the volume expansion of the active material during cycling is a problem. Herein, a rod‐like CoC2O4⋅2 H2O/rGO hybrid is fabricated through a novel multistep solvo/hydrothermal strategy. The structural characteristics of the CoC2O4⋅2 H2O microrod wrapped using rGO sheets not only inhibit the volume variation of the hybrid electrode during cycling, but also accelerate the transfer of electrons and ions in the 3 D graphene network, thereby improving the electrochemical properties of CoC2O4⋅2 H2O. The CoC2O4⋅2 H2O/rGO electrode delivers a specific capacity of 1011.5 mA h g−1 at 0.2 A g−1 after 200 cycles for lithium storage, and a high capacity of 221.1 mA h g−1 at 0.2 A g−1 after 100 cycles for sodium storage. Moreover, the full cell CoC2O4⋅2 H2O/rGO//LiCoO2 consisting of the CoC2O4⋅2 H2O/rGO anode and LiCoO2 cathode maintains 138.1 mA h g−1 after 200 cycles at 0.2 A g−1 and has superior long‐cycle stability. In addition, in situ Raman spectroscopy and in situ and ex situ X‐ray diffraction techniques provide a unique opportunity to understand fully the reaction mechanism of CoC2O4⋅2 H2O/rGO. This work also gives a new perspective and solid research basis for the application of metal oxalate materials in high‐performance lithium‐ion and sodium‐ion batteries.