Dual‐band electrochromic materials have attracted significant attention due to their ability to independently control sunlight and solar heat. However, these materials generally exhibit notable limitations, and the mechanisms for their dual‐band independent regulation remain poorly understood. Here, the visible‐NIR‐independent regulation capabilities of hexagonal WO3 (h‐WO3) are introduced for the first time. A structure‐activity relationship that perfectly links the microscopic ion insertion sequence and cavity characteristics to the macroscopic dual‐band electrochromic properties is established. The progressive ion intercalation process and the distinctive optical activity of the cavities are keys for enabling h‐WO3 to independently modulate “bright,” “cool,” and “dark” modes. Notably, h‐WO3 demonstrates superior dual‐band electrochromic performance with a broadband full shielding effect from 550 to 2000 nm, achieving the widest full shielding band in dual‐band electrochromic studies. Additionally, h‐WO3 shows a high discharge capacity of 270.9 mAh m−2 at 0.25 A m−2, and requires only 49.1 and 209.7 mAh m−2 to complete a full round‐trip switch between “bright‐cool” and “bright‐dark” modes, respectively. The constructed device offers a dynamic temperature control range of up to 10.5 °C and supports a maximum voltage of 2.86 V, underscoring its considerable potential for practical applications and energy efficiency.