Sodium-ion batteries are the most promising alternative to lithium-ion batteries because of their low cost and environmental friendliness. Prussian blue analogs (PBAs) have attracted the attention of researchers because of their open skeleton structure and abundant redox active sites. However, the interstitial water in its crystal structure and poor electron conductivity limit its performance in sodium-ion batteries. A flexible self-supporting electrode is prepared by anhydrous preparation in a ball mill and simple filtration method. The high surface area nanoparticles and the high flexibility MXene layer in the electrode adapt to the rapid Na+ dynamics, alleviating the electrode expansion. The formation of a NaF-rich cathode-electrolyte interface (CEI) layer on the electrode surface inhibits the erosion of active substances by electrolyte, reduces the capacity attenuation of the electrode, and enhances the cyclic stability of the electrode. Electrode without a conductive agent and binder shows excellent electrochemical performance. The discharge capacity of the electrode is 58.3 mAh g−1at 1000 mA g−1 current density, and the capacity retention rate is 59.7% after 1000 cycles. This work has implications for the design of the next generation of low-cost, flexible, and fast charge and discharge energy storage devices.