Prussian blue analogs (PBAs) are promising cathode materials for sodium‐ion batteries (SIBs) due to their low‐cost, similar energy density comparable with that of LiFePO4 in lithium‐ion batteries, and long cycle life. Nevertheless, crystal water (≈10 wt%) in PBAs from aqueous synthesis environments can bring significant side effects in real SIBs, especially for calendar life and high temperature storage performance. Therefore, it is of great importance to eliminate crystal water in PBAs for future commercial applications. Herein, a facile heat‐treatment method is reported in order to remove water from Fe‐based PBAs. Although the heat‐treated sample can be easily rehydrated in air, it still exhibits a stable cycling performance over 2000 times under controlled charge cut‐off voltage. In situ synchrotron high‐temperature powder X‐ray diffraction demonstrates that the as‐prepared sample is maintained at a new trigonal phase after dehydration. Moreover, the redox reaction of low‐spin Fe2+/Fe3+ is activated and the high‐temperature storage performance of as‐prepared sample is significantly improved after removal of water. Heat‐treated Prussian blue cathode material with kilograms yield are fabricated by a facile precipitation method, which demonstrates the potential to realize real application of low‐cost Prussian blue analogs for sodium‐ion batteries. The as‐obtained material demonstrates a stable trigonal phase with outstanding performance in both coin cells and pouch full cells.