ABSTRACT In the face of increasingly severe energy and environmental challenges, the development of high‐performance, sustainable sodium‐ion battery (SIB) anode materials has become a research priority in the field of energy storage. Transition metal selenides (TMSes) have demonstrated great potential as SIB anodes due to their high theoretical capacity and unique physical and chemical properties. However, their practical application remains limited by multiple challenges, including reaction kinetics hysteresis, structural instability, and interfacial side reactions. This review begins with the sodium storage reaction mechanism, systematically addressing key scientific issues in multiple stages of TMSes, including intercalation, conversion, and alloying. It proposes a mechanism‐driven multi‐scale modification strategy. This strategy encompasses innovative approaches such as interlayer engineering, defect control, heterostructure construction, carbon‐based composites, electrolyte optimization, and interface modification. These strategies significantly enhance the initial coulombic efficiency, rate performance, and long‐term cycling stability of TMSes anodes, achieving synergistic optimization from atomic‐level electronic structure regulation to macroscopic structural design.