The initial irreversible capacity loss during the first charging process largely reduces the affordable energy and power density of sodium storage devices, and developing advanced materials is the efficient way to solve this problem, which is fraught with challenges. Herein, inspired by theoretical calculations and the high-entropy concept, a series of fewer layers of high-entropy metal-organic frameworks (FLHE-MOFs) are successfully fabricated, delivering an ultrahigh initial Coulombic efficiency (ICE) of 86.1% and excellent cycling performance, which is far more than that of the other electrode materials (generally <70%). Greatly, the storage behavior of high-, medium-, and low-entropy MOFs is clarified by theoretical calculations and in-/ex-situ characterization, revealing that Co and Fe species can provide substantial sodium storage sites and largely enhance the charge transfer rate, whereas high-entropy effect can enable structural reversibility. Sodium ion capacitors constructed with FLHE-MOFs as the anode can provide an ultrahigh energy density of 121.8 W h kg-1 (200 W kg-1) and an extremely long-term cycle lifespan. This work not only breaks the limitation of MOF materials with poor performance for sodium storage but also provides an effective strategy for the fabrication and application of high-performance MOF-based anode materials with high ICE, in which this idea may also be applied in other fields.