Antimony-based materials offer great potential for sodium-ion battery application owing to their high capacity and suitable Na alloying potential. However, their practical application is hampered by the rapid capacity decay resulting from serious volume change during cycling. Herein, we report a template-free electrodeposition method to grow SbBi-Bi2Se3-Sb2Se3 (SbBi-Se) self-supported nanowall array with a rice-panicle-like top surface directly on Cu substrates. During the electrodeposition, Bi, Sb, and Se have been simultaneously incorporated into the nanowalls, giving rise to an array structure with uniformly dispersed phases of SbBi alloy, and metal selenides Bi2Se3 and Sb2Se3. As a result, the heterostructured interfaces amongst these phases are also homogeneously distributed throughout the entire structure. The density functional theory calculation results indicate that these interfaces facilitate Na+ diffusion and promote electronic conduction, and the sample also demonstrates enhanced high-rate performance and superior cyclic retention with almost no capacity decay after 100 cycles at 0.7 A/g. More importantly, in-situ temperature sensing suggests that such a unique heterostructured material exhibits high thermal stability during charge/discharge, while ex-situ analysis confirms that this electrode material induces the formation of a highly stable SEI film, and verifies the high durability of these alloy and selenide phases allowing the interfaces to keep functioning during charge/discharge process.