Abstract Developing multicomponent composite materials with delicate morphology and tailored structure is of vital importance for designing advanced sodium‐ion batteries (SIBs). Herein, a confinement‐structured Fe 2 Mo 3 O 8 @C@MoS 2 with local‐expanded interlayer spacing is designed via high‐temperature phase transition from FeMoO 4 to Fe 2 Mo 3 O 8 and the tactically introducing dopamine molecules into the interlayer of MoS 2 nanosheets. By analysis of the in situ generated solid electrolyte interphase film in different electrolytes, the favorable compatibility of Fe 2 Mo 3 O 8 @C@MoS 2 in ether‐based electrolytes is well illustrated. Importantly, the sodium storage mechanism and detailed structural evolution of Fe 2 Mo 3 O 8 are established for the first time by in situ X‐ray diffraction. Furthermore, theoretical calculations indicate the unique structure facilitates internal charge transfer and enhances Na + adsorption ability. Thanks to the unique confinement structure, local‐expanded interlayers and robust framework, the Fe 2 Mo 3 O 8 @C@MoS 2 composite achieves a high reversible specific capacity of 636 mAh g ‒1 at 0.1 A g ‒1 , excellent rate capability (301 mAh g ‒1 at 5.0 A g ‒1 ) and ultralong cycling stability (365 mAh g –1 after 6000 cycles at 2.0 A g –1 ). The study provides an essential understanding of the Na storage mechanism of Fe 2 Mo 3 O 8 and a promising strategy for constructing high‐performance anodes for SIBs.