AbstractTransition metal sulfide‐based anodes usually suffer from huge volumetric change and sluggish reaction kinetics, hindering their application for long‐term and high‐power/energy sodium‐ion batteries. Herein, a new design of CoS2‐xSex (0≤x≤2) nanocrystals with highly controllable selenium substitution and S, Se‐codoped graphene immobilization (CoS2‐xSex@SG) is proposed to tune the reaction kinetics and structural stability. The nanocrystal‐on‐graphene structure and robust C─S &C─Se bonding rivets between CoS2‐xSex and SG greatly improve the structural stability of the CoS2‐xSex@SG. Electrochemical performance, kinetic analysis, and theoretical calculation reveal that Se substitution plays a double‐edged role in sodium storage: the increase of Se substitution content enhances the Na+ diffusion kinetics but decreases the Na‐storage capacity. When the Se substitution content is 0.4, the CoS1.6Se0.4@SG electrode demonstrates the best performance: high initial Coulombic efficiency (95.5%), ultrahigh rate capability (412.8 mAh g−1 at 30 A g−1), and ultra‐stable cycling performance (97.6% capacity retention after 1000 cycles). In situ/ex situ measurements further unveil that the conversion reaction between Co0 and Na2S/Na2Se generates the micro‐scaled CoSe2–CoS2 heterostructure, synergistically improving the Na‐storage active sites and reaction kinetics. This work provides a controllable anion substitution strategy to balance the Na+ storage active sites and kinetics with potential applications for high‐power/energy sodium‐ion batteries.