Herein, Mg/Co(OH)F precursors were constructed by a hydrothermal method using secondary water and anhydrous ethanol in a volume ratio of 3:2 as solvents, followed by sodium hypophosphite and high temperature to yield stable MgP4O11/CoP (MPO/CP) composite electrode materials. The optimized MPO/CP nano-walls exhibited more outstanding energy storage performance compared with the single MgCo2O4/MgO oxide (MCO/MO). Specifically, the fabricated MPO/CP electrodes displayed paramount specific capacitance (1870 Fg−1 formed at 1 Ag−1), high rate retention (72.2% specific capacitance maintained when the current density was ramped up from 1 to 15 Ag−1), and exceptional cycling stability (93% after 6000 charge and discharge cycles). These boosted results are ascribed to the formation of multistage honeycomb-walled MPO/CP nanosheets with optimized crossover and multivalency, which promotes MPO/CP with faster transport channels and more reactive sites. Moreover, the P element can reasonably modulate the electronic structure, reduce the internal resistance of ion or electron transport, as well as give full play to the synergistic effect, which can enhance the electrochemical function. Meanwhile, the constructed MPO/CP//AC asymmetric supercapacitor achieves an energy density of 34.3 Wh kg−1 at a power density of 707.2 W kg−1. An encouraging stability of 86.2% was obtained after 8000 cycles at 10 A g−1. Thereby, the proposed novel MPO/CP electrode material with modified electrochemical properties was developed as a prospective candidate for application in energy storage devices.