Owing to the high specific capacities, high electrochemical activity, and various electronic properties, transition metal selenides are considered as promising anodes for lithium‐ and sodium‐ion storage. However, poor electronic conductivity and huge volume expansion during cycling are still responsible for their restricted electrochemical performance. Herein, CoSe hollow polyhedron anchoring onto graphene (CoSe/G) is synthesized by self‐assembly and subsequent selenization. In CoSe/G composites, the CoSe nanoparticles, obtained by in situ selenization of metal–organic frameworks (MOFs) in high temperature, are distributed among graphene sheets, realizing N element doping, developing robust heterostructures with a chemical bond. The unique architecture ensures the cohesion of the structure and endorses the reaction kinetics for metal ions, identified by in situ and ex situ testing techniques, and kinetics analysis. Thus, the CoSe/G anodes achieve excellent cycling performance (1259 mAh g−1 at 0.1 A g−1 after 300 cycles for lithium storage; 214 mAh g−1 at 2 A g−1 after 600 cycles for sodium storage) and rate capability (732 mAh g−1 at 5 A g−1 for lithium storage; 290 mAh g−1 at 5 A g−1 for sodium storage). The improved electrochemical performance for alkali‐ion storage provides new insights for the construction of MOFs derivatives toward high‐performance storage devices.