MoSe2, as a representative two-dimensional transition selenide with a broad interlayer distance of 0.65 nm and a high theoretical capacity of 422 mAh g−1, is considered an optimal anode material for sodium-ion batteries (SIBs). However, its unsatisfactory electrical conduction and structural instability often lead to severe capacity decay during cycling, hindering its large-scale application in SIBs. To overcome these challenges, coupling heterostructures has been identified as an effective solution. The establishment of multiple heterointerfaces can minimize interface diffusion resistance, significantly enhancing ion and electron delivery dynamics compared to a single component. In this work, multiple heterogeneous Co/CoSe/MoSe2 uniformly distributed in carbon nanofibers (CNF) via Co/Mo–Se–C bonding are successfully synthesized using electrospinning and subsequent calcination. Importantly, the Co/CoSe and Co/MoSe2 heterointerfaces can greatly accelerate charge transfer and improve Na + adsorption capability compared to the CoSe/MoSe2 heterostructure, as corroborated by theoretical calculations. Given the high rate performance of Co/CoSe/MoSe2@CNF as an anode in SIBs (267.9 mAh g−1 at 5 A g−1), a rocking-chair sodium-ion capacitor (SIC) incorporating a Co/CoSe/MoSe2@CNF anode and a Na3V2(PO4)3 cathode is proposed, delivering high energy densities of 199.1 Wh kg−1 at 180 W kg−1 and 126.8 Wh kg−1 at 3280 W kg−1.