The present study investigates the impact of incorporating iron (Fe) into nickel cobalt selenides (NiCoSe) to develop an advanced anode electrode material for supercapacitors. Multicomponent iron‐nickel‐cobalt‐selenides (FeNiCoSe) nanostructures are synthesized using a single‐step selenization process with varying iron content substituting nickel. The optimized FeNiCoSe, with 75% Fe substitution in NiCoSe electrode, demonstrates a high specific capacitance of 1442.2 F g −1 at current density of 1 A g −1 along with a long‐term durability and 82.1% capacitance retention rate after 10,000 cycles. The electrode exhibits stable performance across a broad voltage range of 0.0–0.8 V. Brunauer–Emmett–Teller analysis reveals a specific surface area of 79.27 m 2 g −1 and a pore diameter of 3.155 nm of the materials, indicating substantial surface area and porosity conducive to enhanced electrochemical activity. The incorporation of Fe into NiCoSe enhances the charge transfer and increases the availability of electroactive sites, leading to improved electronic conductivity and faster charge–discharge kinetics. The synergetic effect of multimetallic components is a key factor in achieving improved performance of the FeNiCoSe electrode material compared to bimetallic electrode materials NiCoSe and FeCoSe. The findings highlight the potential of FeNiCoSe electrode material as high‐performance supercapacitors.