Hierarchical yolk-shell-structured NiCoSe2/CNT [HYS-(NiCo)Se2/CNT] hybrid microspheres consisting of a porous yolk and embossed hollow thin shell were prepared by one-step spray pyrolysis and subsequent selenization heat treatment for potential use as anode materials for sodium-ion batteries. The unique HYS-(NiCo)Se2/CNT microspheres had a hierarchical configuration of an external thin shell, inside porous yolk, and interstitial hollow space. In particular, the porous yolk is composed of CNTs walls and contained interconnected mesopores formed by PS decomposition during one-step spray pyrolysis. The discharge capacity of the HYS-(NiCo)Se2/CNT microspheres was 366 mA h g−1 after 10,000 cycles at a high current density of 3.0 A g−1, and their capacity retention after the 2nd cycle was 85%. The HYS-(NiCo)Se2/CNT microspheres have discharge capacities of 444, 429, 400, 380, 352, 329, 300, 266, 222, and 163 mA h g−1 at current densities of 0.5, 1.0, 2.0, 3.0, 5.0, 7.0, 10.0, 12.0, 15.0 and 20.0 A g−1, respectively. The synergistic effects of the uniquely hierarchical yolk-shell structure, CNTs walls with high electrical conductivity, interstitial mesopores, and anchored (Ni,Co)Se2 nanoparticles resulted in high structural stability during the cycles and excellent sodium-ion storage performance.