Iron-based compounds have been extensively applied as anode materials for alkali-ion batteries. Nevertheless, how the intrinsic properties of Fe-based compounds affect their alkali-ion storage behavior still remain blurry, hampering the rational structure design of Fe-based anodes for superior performance. Herein, the reaction activities of various Fe-based compounds (e.g., FeS2, FeSe2, and FeP) toward K/Na/Li-ion storage are studied by rationally encapsulating Fe-compounds into hollow carbon boxes with an identical multi-yolk-shell structure. For potassium storage, FeSe2@C composite manifests the best battery performance with high capacity, superior rate capability, and excellent cycling behavior. FeS2@C exhibits high capacity, but with poor cycling retention and inferior rate capability. FeP@C shows the lowest capacity and poorest rate capability. As disclosed by density functional theory calculation and kinetics analysis, the superior potassium storage behavior of FeSe2@C is due to the high electrical conductivity and proper K+ diffusion ability of FeSe2, as well as its excellent pseudocapacitive behavior. The weak electron conductivity of FeS2 is responsible for its poor rate performance, and the large K+ diffusion barrier of FeP leads to its low reaction activity toward potassium-ion storage. Moreover, FeSe2@C also displays best rate capability among these Fe-based composites for both sodium and lithium storage.