As environmentally benign and high-efficiency energy storage devices, sodium-ion capacitors (SICs), which combine the merits of batteries and supercapacitors, are considered to have potentially high energy/power densities and long lifespan. However, the lack of high-rate anodes that can match the high-power-density cathode hinders the commercial application of SICs. In this work, heterostructured Fe/FeSe2/Fe3Se4 nanocomposite is prepared by chemical vapor deposition (CVD) method and investigated as the anode for SICs. Through heterointerface manipulation, Fe/FeSe2/Fe3Se4 demonstrates better sodium ion storage performances than the pure FeSe2 and FeSe2/Fe3Se4. It can deliver a specific capacity of 484.8 mAh·g−1 after 100 cycles at 0.5 A·g−1, as well as a good capacity retention. The excellent performance of Fe/FeSe2/Fe3Se4 nanocomposite can be ascribed to the synergistic effect of the heterointerface engineered components, where FeSe2 and Fe3Se4 are responsible for offering a high capacity and metallic Fe can server as mini-current collectors, effectively accelerating the electron and charge transfer behavior. Meanwhile, the heterointerface significantly facilitates the sodium ion fast transport, and retards the structural variation during cycling. FeSe-1000//activated carbon (AC) SIC affords a high energy density of 112 Wh·kg−1 at 107.5 W·kg−1, its power density can achieve 10,750 W·kg−1 with remained energy density of 44.2 Wh·kg−1, as well as an outstanding cycling stability, demonstrating this effective heterointerface engineered anode strategy for high-performance SICs.Graphical abstract