The incorporation of cobalt selenide (CoSe2) anode in lithium-ion capacitors (LICs) holds great promise for addressing the electrode kinetics mismatch issue, owing to its high theoretical capacity and rapid reaction kinetics. However, the significant volume variation of CoSe2 electrode poses challenges for stable lithium storage. To stabilize the electrode structure, flexible graphene is selected as substrate. Herein, an interface engineering approach is employed to design the heterostructure between CoSe2 and nitrogen-doped graphene. Density functional theory calculations confirm the presence of a strong electric field at the interface between CoSe2 and N-doped graphene, which facilitates structural stability and promotes lithium-ion adsorption and migration. As a proof of concept, the heterogeneous anchoring structure (CoSe2/N-rGO) of tightly packed nanoparticles CoSe2 and N-doped graphene was successfully prepared using basic cobalt carbonate/graphene oxide as precursor. In-situ and ex-situ characterizations reveal the ultrafast pseudocapacitive kinetics and robust conversion reaction mechanism of the CoSe2/N-rGO. Remarkably, the electrode exhibits excellent rate performance (368.3 mAh g−1 at 5.0 A g−1) and cycle performance (404.5 mAh g−1 after 1400 cycles at 2.0 A g−1). Further, the assembled LICs utilizing CoSe2/N-rGO exhibits high energy/power density as well as exceptional long-term stability, with a capacity retention of 81.2% after 8000 cycles, highlighting their promising application prospects.