Scrupulous design and fabrication of advanced electrode materials are vital for developing high-performance sodium ion batteries. Herein, we report a facile one-step hydrothermal strategy for construction of a C-MoSe₂/rGO composite with both high porosity and large surface area. Double modification of MoSe₂ nanosheets is realized in this composite by introducing a reduced graphene oxide (rGO) skeleton and outer carbon protective layer. The MoSe₂ nanosheets are well wrapped by a carbon layer and also strongly anchored on the interconnected rGO network. As an anode in sodium ion batteries, the designed C-MoSe₂/rGO composite delivers noticeably enhanced sodium ion storage, with a high specific capacity of 445 mAh·g^-1 at 200 mA·g^-1 after 350 cycles, and 228 mAh·g^-1 even at 4 A·g^-1; these values are much better than those of C-MoSe₂ nanosheets (258 mAh·g^-1 at 200 mA·g^-1 and 75 mAh·g^-1 at 4 A·g^-1). Additionally, the sodium ion storage mechanism is investigated well using ex situ X-ray diffraction and transmission electron microscopy methods. Our proposed electrode design protocol and sodium storage mechanism may pave the way for the fabrication of other high-performance metal diselenide anodes for electrochemical energy storage.