Transition metal selenides (TMSs) with excellent redox reversibility and high capacity have been considered as potential anodes for sodium-ion batteries (SIBs). However, the low intrinsic conductivity and volume expansion of TMSs seriously hinder their practical application. Herein, an exquisite hierarchical heterostructure of the bimetallic selenide of MoSe₂@CoSe has been fabricated by a simple two-step solvothermal method. The hollow structure of CoSe can provide buffer space for avoiding volume expansion during the discharge/charge process. Moreover, the heterojunction of MoSe₂@CoSe can effectively increase storage sites and shorten the migration path of Na⁺. As the anode for SIBs, MoSe₂@CoSe presents superior cycle stability (capacity retention of 99.6% after 3000 cycles) as well as splendid rate capability (410 mAh g⁻¹ at 10 A g⁻¹). Multistep redox reaction mechanism reactions of MoSe₂@CoSe for sodium storage have been discussed in detail. Prospectively, transition metal selenides with heterojunction hollow nano-architectures may be an effective strategy to boost the long-life stability and capacity of sodium storage performance.