Phase engineering is an effective strategy for modulating the electronic structure and electron transfer mobility of cobalt selenide (CoSe2) with remarkable sodium storage. Nevertheless, it remains challenging to improve fast‐charging and cycling performance. Herein, a heterointerface coupling induces phase transformation from cubic CoSe2 to orthorhombic CoSe2 accompanied by the formation of MoSe2 to construct a CoSe2/MoSe2 heterostructure decorated with N‐doped carbon layer on a 3D graphene foam (CoSe2/MoSe2@NC/GF). The incorporated Mo cations in the bridged o‐CoSe2/MoSe2 not only act an electron donor to regulate charge‐spin configurations with more active electronic states but also trigger the upshift of d/p band centers and a decreased ∆d‐p band center gap, which greatly enhances ion adsorption capability and lowers the ion diffusion barrier. As expected, the CoSe2/MoSe2@NC/GF anode demonstrates a high‐rate capability of 447 mAh g−1 at 2 A g−1 and an excellent cyclability of 298 mAh g−1 at 1 A g−1 over 1000 cycles. The work deepens the understanding of the elaborate construction of heterostructured electrodes for high‐performance SIBs.