Transition metal selenides are considered as promising anode materials for potassium-ion batteries (PIBs) due to their high theoretical capacities. However, their applications are limited by low conductivity and large volume expansion. Herein, sugar-gourd-shaped carbon nanofibers embedded with heterostructured ZnCo-Se nanocages are prepared via a facile template-engaged method combined with electrospinning and selenization process. In this hierarchical ZnCo-Se@NC/CNF, abundant phase boundaries of CoSe2/ZnSe heterostructure can promote interfacial electron transfer and chemical reactivity. The interior porous ZnCo-Se@NC nanocage structure relieves volume expansion and maintains structural integrity during K+ intercalation and deintercalation. The exterior spinning carbon nanofibers connect the granular nanocages in series, which prevents the agglomeration, shortens the electron transport distance and enhances the reaction kinetics. As a self-supporting anode material, ZnCo-Se@NC/CNF delivers a high capacity (362mAhg-1 at 0.1Ag-1 after 100 cycles) with long-term stability (95.9% capacity retention after 1000 cycles) and shows superior reaction kinetics with high-rate K-storage. Energy level analysis and DFT calculations illustrate heterostructure facilitates the adsorption of K+ and interfacial electron transfer. The K+ storage mechanism is revealed by ex situ XRD and EIS analyses. This work opens a novel avenue in designing high-performance heterostructured anode materials with ingenious structure for PIBs.