Thanks to their high conductivity and theoretical capacity, transition metal selenides have demanded significant research attention as prospective anodes for sodium-ion batteries. Nevertheless, their practical applications are hindered by finite cycle life and inferior rate performance because of large volume expansion, polyselenide dissolution, and sluggish dynamics. Herein, the nitrogen-doped carbon (NC)-coated FeSe2 nanoparticles encapsulated in NC nanoboxes (termed FeSe2@NDC NBs) are fabricated through the facile thermal selenization of polydopamine-wrapped Prussian blue precursors. In this composite, the existing nitrogen-doped dual carbon layer improves the intrinsic conductivity and structural integrity, while the unique porous yolk-shell architecture significantly mitigates the volume swelling during the sodium/desodium process. Moreover, the derived Fe-N-C bonds can effectively capture polyselenide, as well as promote Na+ transportation and good reversible conversion reaction. As expected, the FeSe2@NDC NBs deliver remarkable rate performance (374.9 mA h g-1 at 10.0 A g-1) and long-cycling stability (403.3 mA h g-1 over 2000 loops at 5.0 A g-1). When further coupled with a self-made Na3V2(PO4)3@C cathode in sodium-ion full cells, FeSe2@NDC NBs also exhibit considerably high and stable sodium-storage performance.