Electronic structure engineering on electrode materials could bring in a new mechanism to achieve high energy and high power densities in sodium ion batteries. Herein, we design and create Co vacancies at the interface of atomically thin CoSe2/graphene heterostructure and obtain Co1−xSe2/graphene heterostructure electrode materials that facilitate significant Na+ intercalation pseudocapacitance. Density functional theory (DFT) calculation suggests that the Na+ adsorption energy is dramatically increased, and the Na+ diffusion barrier is remarkably reduced due to the introduction of Co vacancy. The optimized electrode delivers a superior capacity of 673.6 mAh g−1 at 0.1 C, excellent rate capability of 576.5 mAh g−1 at 2.0 C and ultra‐long life up to 2000 cycles. Kinetics analysis indicates that the enhanced Na+ storage is mainly attributed to the intercalation pseudocapacitance induced by Co vacancies. This work suggests that the creation of cation vacancy could bestow heterostructured electrode materials with pseudocapacitive Na+ intercalation for high‐capacity and high‐rate energy storage. The Co vacancies (VCo) at the interface of Co1−xSe2/graphene (GE) afford strong adsorption of Na+ and a low Na+ diffusion energy barrier to facilitate rapid intercalation/deintercalation of Na+ ions giving remarkable pseudocapacitance. The as‐prepared Co1−xSe2/GE‐based sodium ion batteries deliver high specific/rate capacity performance and exceptional cycling performance.