Iron selenides have emerged as appealing anodes for Na+‐storage due to their natural abundance, good redox reversibility, and high theoretical capacity. Nevertheless, exploring a carbon‐free iron selenide anode with long‐term stability and high‐rate capability remains an intractable challenge. Herein, a 3D carbon‐free iron selenide electrode is designed by heterointerface with SeP bond engineering strategy to realize outstanding Na+‐storage performance. Theoretical calculations on the stress deformation confirm the construction of Fe7Se8/Fe3(PO4)2 not only enables excellent resistance‐to‐deformation ability but also exhibits strong mechanically stable against sodiation–desodiation. Such fascinating properties combined with the accelerated Na+ diffusion kinetics and enhanced electronic conductivity endowed by the 3D interconnected framework contribute to impressive cycling stability and superb rate performance for Na+‐storage. Consequently, the designed 3D Fe7Se8/Fe3(PO4)2 composite with a high tap density of 0.91 cm3 g−1 displays a stable specific capacity of 277.1 mAh cm−3 at 30 A g−1, and outstanding long‐term cycle stability of up to 1500 cycles at 5 A g−1 without obvious capacity decay. The proposed engineering strategy and results provide new insight to design carbon‐free advanced electrodes for future practical applications.