Enhancing the rate and cycle performance of anode materials is the key in developing high performance Li/Na/K-ion capacitors. Molybdenum selenide (MoSe2) has been well studied as a potential high rate anode material for Na-ion capacitors based on its lamellar structure and large interlayer space. However, the MoSe2 anode usually suffers from inferior cycling stability especially when directly exposing to electrolyte. Herein, a composite anode material with MoSe2 nanosheets confined in N-doped carbon fibers is prepared by electrospinning and post-selenization process, which exhibits highly capacitive Na ion storage behavior and stable cycle performance in Na-metal half cells. When it is coupled with a pomelo peel-derived porous carbon cathode that is pre-mixed with sodium oxalate as the pre-sodiation additive, the assembled Na-ion capacitors display outstanding energy-power performance, including ultrahigh energy densities of 116 and 79 Wh kg−1 achieved at 197 and 8318 W kg−1, respectively, and a quite good stability in a long term cycle test. These results convincingly demonstrate that the composite with MoSe2 nanosheets confined in N-doped carbon fibers can be promising high capacitive and stable anode material for high performance Na-ion capacitors.