Prussian blue (PB) and Prussian blue analogues (PBA) have the advantages of 3D open framework, large specific surface area, and controllable pore distribution, but poor conductivity and stability when used as electrodes. Nonetheless, it can be transformed into nanostructured metal oxides and chalcogenides based on their unique nanostructure to achieve good cycle life and high capacity retention. Herein, PB/PBA-derived Co0.85Se nanoframeworks (Co0.85Se NFs) and Fe2O3 nanoparticles (Fe2O3 NPs) have been prepared by a facile in-situ complex-precipitation and subsequent selenization/oxidation processes. Thanks to their unique nanostructure, large specific capacity and complementary operating voltage, a novel Co0.85Se//Fe2O3 asymmetric supercapacitor (ASC) was assembled by using Co0.85Se NFs as positive electrode and Fe2O3 NPs as negative electrode, respectively. The Co0.85Se//Fe2O3 ASC delivers a wide output potential of 1.6 V, acceptable energy density of 18.9 Wh kg−1 at a high-power density of 800 W kg−1, as well as good cycling durability of 89% capacitance retention after 3000 cycles. These results indicate that metal compounds prepared from Prussian blue analogs as self-templates are promising electrode materials and potential for practical applications in energy storage fields.