Metal selenides have garnered significant attention as promising anode materials for sodium-ion hybrid capacitors (SIHCs), yet its sluggish reaction kinetics as the battery-type anodes pose a challenge for developing high power SIHCs when coupled with capacitor-type cathodes. To overcome this limitation, constructing heterostructured metal selenides anodes has emerged as a promising strategy to balance the reaction kinetics between two different types of electrodes. Herein, the hollow porous TA-Co0.85Se/MoSe2@MXene anode with multiple heterostructures for sodium storage has been engineered via facile double-etching and self-assembly approach. The well-tailored void space and abundant heterointerfaces may effectively mitigate volumetric changes and enhance structural stability. Density functional theory (DFT) calculations further reveal that the local multilevel built-in electric fields induced by the heterointerfaces can effectively accelerate charge transfer and reduce the migration energy barrier of Na+, thus boosting the reaction kinetics. The fabricated anode demonstrates superior long-term cycling performance with a reversible capacity of 414 mA h/g after 1000 cycles at 1 A/g and remarkable rate capability of 425 mA h/g at 5 A/g. Benefiting from the ingenious structure and excellent sodium storage performance, the as-built SIHCs achieves an impressive energy density of 193 W h kg−1 and high power output of 18 kW kg−1 with outstanding capacitance retention of 90 % at 2 A/g after 10,000 cycles. This study provides valuable insights into the rational design of multiple heterostructured anode materials with multilevel built-in electric fields for high-performance SIHCs.