The design of pseudocapacitive materials by coupling transition metal compounds with a conductive carbon matrix is important for the high performance of supercapacitors. Herein, we construct the Prussian blue analogue derived nickel-cobalt selenides coupling with nitrogen-doped carbon nanofibers (NiCoSe4-NCNFs) by carbonization and selenization of polyacrylonitrile nanofibers. The effect of selenization and element N doping on the morphological structure and surface chemistry of NiCoSe4-NCNFs are evaluated. Due to the accelerated electrolyte ion diffusion, enlarged active surface area and the modified surface chemistry by the strong interaction at NiCoSe4/NCNFs interfaces, NiCoSe4-NCNFs show excellent capacitive behaviors in 1 mol/L KOH, and the specific capacitance is 1257 F/g at 1 A/g with a rate capability of 78% and cyclic stability of 82.9%. The Gibbs free energy of adsorption OH˗ is calculated by density functional theory to investigate the charge storage mechanism. This work offers a new strategy to construct the transition metal selenides/carbon nanofibers hybrids for high-performance supercapacitor devices.