Abstract2D cobalt selenide based on conversion reaction has attracted much attention due to its open layered structure and high specific capacity. However, effectively suppressing the fast capacity fade caused by the irreversible Se dissolution and serious volume change during the cycling process is still a challenge. Herein, the concentration of dispersion liquid under supercritical conditions is tuned to induce the CoSe crystal to grow along the graphene oxide (GO), and finally obtain the Tremella‐like CoSe–reduced GO (rGO) hybrid. The nature of epitaxial growth leads to the formation of stable CSe bonds, which maintain a favorable conductive connection between CoSe and rGO as well as enhance the mechanical strength of active materials to suppress Se dissolution and volume expansion during Na/Li intercalation and deintercalation. The unique microstructural merits of the hybrid result in superior sodium/lithium storage performance (400.8 mAh g−1 at 1 A g−1 after 100 cycles for sodium‐ion batteries and 769.6 mAh g−1 at 2 A g−1 after 500 cycles for lithium‐ion batteries). Moreover, the transmission X‐ray microscopy technique is first used to directly observe the Se segregation in cobalt selenide and it being suppressed by the CSe bonds.