Abstract Complex metal–organic frameworks used as precursors allow design and construction of various nanostructured functional materials which might not be accessible by other methods. Here, we develop a sequential chemical etching and sulfurization strategy to prepare well‐defined double‐shelled zinc–cobalt sulfide (Zn‐Co‐S) rhombic dodecahedral cages (RDCs). Yolk‐shelled zinc/cobalt‐based zeolitic imidazolate framework (Zn/Co‐ZIF) RDCs are first synthesized by a controlled chemical etching process, followed by a hydrothermal sulfurization reaction to prepare double‐shelled Zn‐Co‐S RDCs. Moreover, the strategy reported in this work enables easy control of the Zn/Co molar ratio in the obtained double‐shelled Zn‐Co‐S RDCs. Owing to the structural and compositional benefits, the obtained double‐shelled Zn‐Co‐S RDCs exhibit enhanced performance with high specific capacitance (1266 F g −1 at 1 A g −1 ), good rate capability and long‐term cycling stability (91 % retention over 10,000 cycles) as a battery‐type electrode material for hybrid supercapacitors.