Tailoring the electronic structure of nanomaterials by constructing core-shell heterostruture is a compelling strategy to design novel electrode materials with modified physiochemical properties for supercapacitors with improved performance. Herein, for the first time, we in situ fabricate iron nickel selenide (FeNiSe2)@nickel cobalt sulfide (Ni4.5Co4.5S8) core-shell nanosheet arrays on carbon cloth by an electrodeposition approach and a selenization treatment. This three-dimensional hierarchcial porous framework formed by plentiful interconnected nanosheets can expose numerous redox active sites with varied oxidation states and provide a conductive and porous skeleton for rapid ion/electrolyte ions transport. Benefiting from its modulated electronic structure and synergetic effect of metal-like FeNiSe2 and Ni4.5Co4.5S8, the as-synthesized FeNiSe2@Ni4.5Co4.5S8 electrode displays a large specific capacity of 236.9 mAh g-1 at 1 A g-1, remarkable rate capability with 80.6% capacity retention at 20 A g-1, and stable cyclic performance, which are superior to those of pure FeNiSe2 and Ni4.5Co4.5S8 electrodes. Besides, the assembled FeNiSe2@Ni4.5Co4.5S8//porous carbon hybrid supercapacitor device offers an energy density of 69.0 Wh kg-1 at 799.2 W kg-1, and exceptional cycling stability with 91.2% capacity retention after 10,000 cycles. This work offers a synthetic strategy to explore core-shell electrode materials with tunable architecture and morphology for high-performance energy storage devices.