Rechargeable alkali metal‐ion batteries (AMIBs) are receiving significant attention owing to their high energy density and low weight. The performance of AMIBs is highly dependent on the electrode materials. It is, therefore, quite crucial to explore suitable electrode materials that can fulfil the future requirements of AMIBs. Herein, a hierarchical hybrid yolk–shell structure of carbon‐coated iron selenide microcapsules (FeSe2@C‐3 MCs) is prepared via facile hydrothermal reaction, carbon‐coating, HCl solution etching, and then selenization treatment. When used as the conversion‐typed anode materials (CTAMs) for AMIBs, the yolk–shell FeSe2@C‐3 MCs show advantages. First, the interconnected external carbon shell improves the mechanical strength of electrodes and accelerates ionic migration and electron transmission. Second, the internal electroactive FeSe2 nanoparticles effectively decrease the extent of volume expansion and avoid pulverization when compared with micro‐sized solid FeSe2. Third, the yolk–shell structure provides sufficient inner void to ensure electrolyte infiltration and mobilize the surface and near‐surface reactions of electroactive FeSe2 with alkali metal ions. Consequently, the designed yolk–shell FeSe2@C‐3 MCs demonstrate enhanced electrochemical performance in lithium‐ion batteries, sodium‐ion batteries, and potassium‐ion batteries with high specific capacities, long cyclic stability, and outstanding rate capability, presenting potential application as universal anodes for AMIBs.