The exploitation of effective strategies to accelerate the Na+ diffusion kinetics and improve the structural stability in the electrode is extremely important for the development of high efficientcy sodium‐ion batteries. Herein, Se vacancies and heterostructure engineering are utilized to improve the Na+‐storage performance of transition metal selenides anode prepared through a facile two‐in‐one route. The experimental results coupled with theoretical calculations reveal that the successful construction of the Se vacancies and heterostructure interfaces can effectively lower the Na+ diffusion barrier, accelerate the charge transfer efficiency, improve Na+ adsorption ability, and provide an abundance of active sites. Consequently, the batteries based on the constructed ZnSe/CoSe2‐CN anode manifest a high initial Coulombic efficiency (97.7%), remarkable specific capacities (547.1 mAh g–1 at 0.5 A g–1), superb rate capability (362.1 mAh g–1 at 20 A g–1), as well as ultrastable long‐term stability (1000 cycles) with a satisfied specific capacity (535.6 mAh g–1) at 1 A g–1. This work facilitates an in‐depth understanding of the synergistic effect of vacancies and heterojunctions in improving the Na+ reaction kinetics, providing an effective strategy to the rational design of key materials for high efficiency rechargeable batteries. Vacancy and interface synergistic engineering is utilized to boost the electrochemical performance of bimetallic selenide (ZnSe/CoSe2‐CN)‐based sodium‐ion batteries. The as‐prepared composite manifests appealing Na+‐storage performance, including high initial Coulombic efficiency, good rate capability, and excellent stability. The proposed strategy is considerably facile and may shed light on designing advanced electrodes with intriguing electrochemical performance.