Pitch is an excellent precursor of hard carbons (HCs) with low-cost and high carbon content, enabling its commercial-scale application in sodium-ion batteries. Pre-oxidation is the key to obtaining pitch-derived HCs with disordered microstructures. However, pitch is a mixture of fractions with different molecular weights and structures. With the introduction of oxygen, the cross-linked structure established by each fraction could be different, the effect of which on the microstructure and sodium storage performance of HCs remains unclear. Here, we separate pitch into three fractions and further pre-oxidize and carbonize to produce HCs, in order to systematically investigate the effects of structural differences among pitch fractions on the cross-linking mechanism and microstructure of as-obtained HCs. It is found that tetrahydrofuran‐insoluble (THFI) enables the enrichment of polar oxygen functional groups, thus enhancing its oxidative activity to obtain more oxygen for the construction of abundant three‐dimensional cross‐linked structure. It is conducive to preventing the rearrangement of carbon layers and promoting the development of micropores during high-temperature carbonization process, which facilitates the storage of sodium ions in the low‐voltage plateau region. The resulting hard carbon (THFI‐1400) has significantly improved overall sodium storage performances. This work provides a new strategy to prepare low‐cost and high‐performance HCs.