Prussian blue analogs (PBAs) show promise as cathodes for sodium-ion batteries due to their notable cycle stability, cost-effectiveness, and eco-friendly nature, yet the presence of interstitial water limits the specific capacity and obstructs Na+ mobility within the material. Although considerable experimental efforts are focused on dehydrating water for capacity enhancement, there is still a deficiency of a comprehensive understanding of the low capacity of low-spin Fe resulting from interstitial water, which holds significance in Na+ storage. This study introduces a novel gas-assisted heat treatment method to efficiently remove interstitial water from Fe-based PBA (NaFeHCF) electrodes and combines experiments and theoretical calculations to reveal the iron spin state regulation that is related to the capacity enhancement mechanism. This dehydration strategy significantly enhances battery capacity, especially the portion at higher voltages (3.4-4.0V). The increase in capacity is attributed to the following factors: an enhanced proportion of Fe2+, reduced water content which facilitates faster charge transfer, and the activation of low spin Fe2+. The optimized NaFeHCF demonstrated impressive half-cell performance of retaining 87.3% capacity after 2000 cycles at a 5C rate and achieving 100mAhg-1 capacity over 200 cycles when being paired with hard carbon, exhibiting its practical potential.