Transition metal phosphides attract extensive concerns thanks to their high theoretical capacity in sodium ion batteries (SIBs). Nevertheless, the substantial volume fluctuation of metal phosphides during cycling leads to severe capacity decay, which largely hinders their large-scale deployment. In this regard, heterostructured Fe-Co-P (FeP/Co2P) arrays are firstly constructed in this work for SIBs. The novel self-supported construction without insulated binders favors fast charge migration and Na+ ion diffusion. In addition, the special heterostructure with abundant heterointerfaces could considerably mitigate the volume change during (de)sodiation and provide increased active sites for Na+ ions. Density functional theoretical (DFT) calculations confirm the built-in electric field in the heterointerfaces, which greatly hastens charge transfer and Na+ ion transportation, thereafter bringing about enhanced electrochemical performance. Most importantly, the FeP/Co2P heterostructure discloses higher electrical conductivity than that of bare FeP and Co2P based on the theoretical calculations. As anticipated, the heterostructured Fe-Co-P arrays demonstrate superior performance to that of Fe-P or Co-P anode, delivering high reversible capacities of 634 mAh g−1 at 0.2 A g−1 and 239 mAh g−1 at 1 A g−1 after 300 cycles.