Here, we report a unique porous FeCoAl Prussian blue analogue (PBA)-based core–shell catalyst (Na/Fe@FeCoAl-P) with a well-defined spatial arrangement of double-active interfaces for superior CO2 conversion to C2–C4 hydrocarbons. Compared to the traditional Na/Fe catalyst, which has a selectivity of 32.0% to C2–C4 hydrocarbons at a CO2 conversion of 38.1%, the resulting Na/Fe@FeCoAl-P0.1 catalyst exhibits significantly improved selectivity (40.8%) to C2–C4 hydrocarbons with a high olefin/paraffin (O/P) ratio of 8.7 at a largely improved CO2 conversion of 54% at 330 °C, while the CO selectivity decreases from 7.3 to 3.5%. Furthermore, the selectivity of C2–C4 hydrocarbons can reach 45.7% containing 38.7% of C2=–C4= products at 280 °C. In addition, the in-depth characterization results have indicated that the presence of FeCoAl PBA not only inhibits the generation of heavy hydrocarbons by the unique porous structure space but also considerably facilitates the formation of an abundant Fe5C2 phase for boosting Fischer–Tropsch synthesis (FTS) activity. Also, a distinctive reaction scheme of CO2 hydrogenation to hydrocarbons over the Na/Fe@FeCoAl-P0.1 catalyst is proposed on the basis of extensive characterizations. Moreover, we also demonstrate that porous-structured PBA is a highly promising material for use in CO2 hydrogenation, although its application has been rarely reported in CO2 Fischer–Tropsch synthesis.