A self‐supporting electrode composed of carbon‐coated tin selenide nanosheets, thermally treated protein, and reduced graphene oxide was prepared for sodium‐ion batteries via a protein‐assisted self‐assembly, cost‐efficient vacuum filtration, and subsequent low‐temperature annealing. During this process, the hierarchical three‐dimensional framework has been achieved, in which tin selenide nanosheets consisted of nanocrystals with diameter of about 5 nm, and confined in a highly conductive interconnected reduced graphene oxide network by thermally treated bovine serum albumin. The unique structure not only promises structural stability and the reaction kinetics of the electrode during charge‐discharge process, but also possesses substantial interfacial sites for Na+ redox reaction giving rise to additional pseudocapacitance. Therefore, the self‐supporting composite as anode exhibits an outstanding capacity of 617.5 mA h g−1 at 0.1 A g−1, high rate capability of 213.8 mA h g−1 at 5 A g−1, and superior cyclic performance of 503.9 mA h g−1 at 0.1 A g−1 after 100 cycles. Therefore, the electrode materials have large potential in advanced sodium‐ion batteries in portable, flexible, and wearable electronics.