Sodium‐ion capacitors (SICs) by virtue of synergizing the merits of batteries and supercapacitors are promising in energy‐storage applications. However, they face significant challenges due to the mismatch between the sluggish Faradaic reaction anode and the swift non‐Faradaic cathode. Here, the in‐situ growth of a covalent organic framework (TA‐DH‐COF) with multiple active sites (C = O, C = N, and C = C) on graphene aerogels (GA) is reported to synthesize a novel TA‐DH‐COF/GA anode with hierarchical pores for SICs. Benefiting from the synergistic effect of molecular design and hierarchical structural engineering, the obtained TA‐DH‐COF/GA anode possesses abundant accessible active sites and efficient ions and electrons transport pathways. Combining theoretical calculations and spectroscopic studies, it is revealed that the Na‐storage mechanism and transportation kinetics of the TA‐DH‐COF/GA are based on the reversible Na+ coordination by abundant accessible active sites through a four‐stage process, featuring capacitive energy storage characteristics. When coupled with an activated carbon (AC) cathode, the TA‐DH‐COF/GA||AC SIC device displays ultrahigh energy/power densities (≈56 Wh kg−1 and ≈10 000 W kg−1) and long‐term cyclic stability with 88.8% capacity retention after 18 000 cycles, outperforming existing SIC counterparts. This study illuminates the potential of COF‐based materials in SICs to achieve high energy/power density.