Electrochemical conversion reaction based electrodes offer a high sodium storage capacity in rechargeable batteries by utilizing the variable valence states of transition metals. Thus, transition metal chalcogenides (TMCs) as such materials have been intensively investigated in recent years to explore the possibilities of practical application in rechargeable sodium-ion batteries; however, it is hindered by poor rate performance and a high-cost preparation method. In addition, some issues in regards to conversion reactions remain poorly understood, including incomplete reversible reaction processes, polarization, and hysteresis. Herein, a novel cagelike CoSe2@N-doped carbon aerogels hybrid composite was designed and prepared by a facile and high-efficiency sol–gel technology. Benefiting from the surface engineering optimization, high charge transfer, and low-energy diffusion barrier, the CoSe2@N-doped carbon aerogels exhibit a high pseudocapacitive property. Most importantly, the CoSe2 anode has been carefully investigated at different discharge/charge states by X-ray absorption near edge spectroscopy technologies and density functional theory (DFT) simulations, which deeply reveal the capacity fading mechanism and phase transition behavior.