Metal-organic frameworks (MOFs) have been widely used as versatile precursors to fabricate functional nanomaterials with well-defined structures for various applications. Herein, the presynthesized Ni-MOF nanosheets were grown on a Ni foam (NF) substrate, which then guided the nucleation and further growth of Prussian blue analogues (PBA) nanocubes to form MOF-on-MOF of the PBA/Ni-MOF film. This film was subsequently converted into a Co2P/Ni2P heterostructure. The NF-supported Co2P/Ni2P composites exhibited excellent supercapacitor performance, delivering a high specific capacity of 5124.2 mF cm-2 at 1 mA cm-2 and a remarkable capacity retention of 80.69% after 3000 cycles at 10 mA cm-2. An asymmetric supercapacitor assembled using Co2P/Ni2P/NF as the cathode and activated carbon as the anode yielded a maximum energy density of 0.34 mWh cm-2 at a power density of 1.50 mW cm-2. The enhanced supercapacitor performance is attributed to the synergistic effects of the Ni2P and Co2P components with multiple valence states as well as the unique hierarchical structure, which provides efficient pathways for electron and ion transport while mitigating volume expansion during energy storage. This synthetic strategy demonstrates an effective approach to fabricate phosphide-based hybrid materials for high-performance supercapacitor applications.