Iron selenide (FeSe2), a p-type narrow band gap (1.0 eV) semiconductor, has been considered as a potential electrode material for electrochemical energy storage owing to its many benefits, including quick electron transfer, excellent electrical conductivity and exceptional theoretical specific capacity. Nevertheless, the volumetric expansion, agglomeration, low ion-diffusion capacity and other inadequacies in the process of discharging and charging. Therefore, FeSe2 is far short of high initial coulomb efficiency, long-cycle stability, and excellent rate performance. The greatest obstacle to the practical use of energy storage systems is these drawbacks. Herein, the electrospinning and a thermally-induced selenization route are adopted to encapsulate the FeSe2 hollow nanospheres into the intertwined Se, N co-doped carbon nanofibers (Se, N-FeSe2CNFs). Density functional theory calculation delivers that Se, N-FeSe2CNFs nanocomposite presents extremely low bandgap and high density of states at the Femi level, demonstrating significantly increased conductivity. When assembling into the all-solid-state symmetric supercapacitors (ASSSCs), the Se, N-FeSe2CNFs ASSSCs provide a remarkable specific capacity of 330.2 F g−1 and maintain 92.0% after 5000 cycles at 2 A g−1. Meanwhile, the resistance of charge transfer decreases from 0.73 Ω (FeSe2) to 0.28 Ω (Se, N-FeSe2CNFs). Moreover, the Se, N-FeSe2CNFs ASSSCs deliver 128.6 Wh kg−1 (energy density) at about 800 W kg−1 (power density). Additionally, the Se, N-FeSe2CNFs anodes also have outstanding reversible capacity (549.5 mAh g−1 at 0.1 A g−1) and stability of long-circulation (481.3 mAh g−1 after 100 circles and 480.9 mAh g−1 after 200 circles at 0.1 A g−1) for sodium-ion batteries (SIBs). The superb property of energy storage can be due to the encapsulated structure that can maintain the integrity of structures for electrodes during electrochemical reactions and the Se, N heteroatoms doped CNFs that can conducive to ions/charges transport and storage. The designed encapsulated structure and synthesis approach have broad application prospects in electrochemical energy storage.