Rechargeable magnesium batteries (RMBs) have emerged as a promising alternative to lithium-ion batteries (LIBs), given their high abundance and desirable safety characteristics. However, the strong polarization of divalent ions has hindered the satisfactory insertion and dissolution of Mg2+ ions in the cathode, thereby limiting the electrochemical performance of the system. To address this issue, magnesium/lithium hybrid batteries (MLHB) have been developed, using both Mg2+ and Li+ ions as carriers to enhance the electrochemical kinetic performance and maintain safety. In this study, a Cu2Se/CoSe heterostructured cathode is designed to extremely promote the electrochemical performance of MLHB. When it is applied to MLHB, the battery exhibites extremely high initial discharge capacity, reversible capacity and cycling stability. The initial discharge capacity obtains 385 mAh g−1 at 100 mA g−1, and a reversible capacity of 140 mAh g−1 is maintained after 200 cycles. The role of the special heterostructures and the effect of pre-lithiation on cathode materials are discussed in detail, on the basis of which a two-step storage mechanism of hybrid ions in Cu2Se/CoSe is proposed. This work lays the foundation for designing and constructing high-capacity, excellent cycle stability cathodes with fast charge-transfer kinetics.