Effective strategies toward building exquisite nanostructures with enhanced structural integrity and improved reaction kinetics will carry forward the practical application of alloy‐based materials as anodes in batteries. Herein, a free‐standing 3D carbon nanofiber (CNF) skeleton incorporated with heterostructured binary metal selenides (ZnSe/SnSe) nanoboxes is developed for Na‐ion storage anodes, which can facilitate Na+ ion migration, improve structure integrity, and enhance the electrochemical reaction kinetics. During the carbonization and selenization process, selenium/nitrogen (Se/N) is co‐doped into the 3D CNF skeleton, which can improve the conductivity and wettability of the CNF matrices. More importantly, the ZnSe/SnSe heterostructures and the Se/N co‐doping CNFs can have a synergistic interfacial coupling effect and built‐in electric field in the heterogeneous interfaces of ZnSe/SnSe hetero‐boundaries as well as the interfaces between the CNF matrix and the selenide heterostructures, which can enable fast ion/electron transport and accelerate surface/internal reaction kinetics for Na‐ion storage. The ZnSe/SnSe@Se,N‐CNFs exhibit superior Na‐ion storage performance than the comparative ZnSe/SnSe, ZnSe and SnSe powders, which deliver an excellent rate performance (882.0, 773.6, 695.7, 634.2, and 559.0 mAh g−1 at current rates of 0.1, 0.2, 0.5, 1, and 2 A g−1) and long‐life cycling stability of 587.5 mAh g−1 for 3500 cycles at 2 A g−1.