Heterostructured composites, inheriting the integrated properties of the individual components due to the synergistic effect, have engendered great attention in materials science and energy storage. However, conventional biphasic heterostructures not only optimize the performance of the composites but also aggregate the inevitable drawbacks, which can be addressed with the construction of the triphasic heterostructures by introducing an appropriate intermediate phase, significantly. Herein, a two‐dimensional (2D) double‐heterostructures MoSe2‐TiO2‐MXene anode is architected for Li‐ion storage, which combines the advantages of the high theoretical capacity of MoSe2 and metallic conductivity of MXene. Besides, the in‐situ derived TiO2 can alleviate the irreversible phase transition of MoSe2, arising from the low electronic/ionic conductivities, through electronic coupling effects. Meanwhile, the intermediate phase of TiO2 can further prevent the restacking issue of MXene, thus sustaining its high conductivity. Finally, the three‐dimensional (3D) printing technology is employed to further improve the kinetics of the electrodes for Li‐ion capacitors (LICs), which deliver the power density of 5563 W kg−1 at an energy density of 51 Wh kg−1, and a remarkable cycling stability for 20 000 cycles at 1 A g−1. This work deepens the understanding of the influence of heterostructured engineering on the design of high‐energy/power storage devices.