Sodium‐ion capacitors have received much attention compared to lithium‐based systems, owing to the improved safety and earth abundancy. Here, we assembled an aqueous sodium‐ion capacitor by using nickel hexacyanoferrate and graphene as positive and negative electrodes, respectively, in 1 M Na2SO4 electrolyte. The fabricated capacitor can work in a wide potential window from 0 to 2 V, giving an energy density of 39.35 Wh kg−1 with better capacitance retention of about 91 %, even after 2000 cycles. Besides, the cost‐effective precursors as well as environmentally friendly and earth‐abundant electrolytes with high safety will ensure that the fabricated sodium‐ion capacitor system is suitable for next‐generation energy storage applications.