Transition metal selenides (TMS) have received much attention as anode materials for sodium-ion batteries (SIBs) because of their high theoretical capacity and excellent redox reversibility. However, their further development is constrained by the dissolution of transition metal ions and substantial volume changes experienced during cycling. Herein, the high-entropy Prussian blue analogues were selenized by the vapor infiltration method, resulting in the formation of a core–shell structured high-entropy selenides (HESe-6). The core–shell structure with voids and abundant selenium vacancies on the surface effectively mitigates bulk expansion and enhances electronic conductivity. Furthermore, the high-entropy property endows an ultra-stable crystal structure and inhibits the dissolution of metal ions. The ex-situ EIS and in-situ XRD results show that HESe-6 is able to be reversibly transformed into highly conductive ultrafine metal particles upon Na+ embedding, providing more Na+ reactive active sites. In addition, despite the incorporation of up to seven different elements, it exhibits minimal phase transitions during discharge/charge cycles, effectively mitigating stress accumulation. HESe-6 could retain an ultralong-term stability of 765.83 mAh g−1 after 1000 loops even at 1 A g−1. Furthermore, when coupled with the Na3V2(PO4)2O2F cathode, it maintains a satisfactory charge energy density of 303 Wh kg−1 after 300 cycles, which shows promising application prospect in the future.