Benefiting from the enriched resources and satisfactory electrochemical performance, sodium/potassium ion batteries (SIBs/PIBs) are attracting significant attention and promising to be an ideal energy storage alternative to lithium-ion batteries (LIBs). Transition metal selenides are regarded as ideal anodes on account of their high theoretical capacity. Yet the weak reaction kinetics and the volume expansion still hinder its further development. Reasonable structural design and surface optimization are commonly used to address this challenge. Herein, a yolk-shell heterostructured bimetallic selenide derived from metal-organic framework (MOF) and confined in polydopamine plastic layer (ZnSe/CoSe₂@PDA) is successfully synthesized. The unique structure and the polydopamine layer can release internal stress during the cycling process and effectively relieve the volume expansion. The construction of heterostructure can bring abundant active energy storage sites for Na⁺/K⁺ while shortening the diffusion paths of ions/electrons, thereby accelerating the reaction kinetics. Consequently, the ZnSe/CoSe₂@PDA electrode exhibits an extremely high capacity of 914 mA h g⁻¹ at 0.1 A g⁻¹ in SIBs. Furthermore, it also possesses 182 mA h g⁻¹¹ at 1 A g⁻¹ after 250 cycles in PIBs. This strategy significantly increases the energy density of the anodes. Providing a new way for metal selenide anodes toward high-performance SIBs/PIBs.