High initial coulombic efficiency is highly desired because it implies effective interface construction and few electrolyte consumption, indicating enhanced batteries’ life and power output. In this work, a high‐capacity sodium storage material with FeS₂ nanoclusters (≈1–2 nm) embedded in N, S‐doped carbon matrix (FeS₂/N,S‐C) was synthesized, the surface of which displays defects‐repaired characteristic and detectable dot‐matrix distributed Fe‐N‐C/Fe‐S‐C bonds. After the initial discharging process, the uniform ultra‐thin NaF‐rich (≈6.0 nm) solid electrolyte interphase was obtained, thereby achieving verifiable ultra‐high initial coulombic efficiency (≈92 %). The defects‐repaired surface provides perfect platform, and the catalysis of dot‐matrix distributed Fe‐N‐C/Fe‐S‐C bonds to the rapid decomposing of NaSO₃CF₃ and diethylene glycol dimethyl ether successfully accelerate the building of two‐dimensional ultra‐thin solid electrolyte interphase. DFT calculations further confirmed the catalysis mechanism. As a result, the constructed FeS₂/N,S‐C provides high reversible capacity (749.6 mAh g⁻¹ at 0.1 A g⁻¹) and outstanding cycle stability (92.7 %, 10 000 cycles, 10.0 A g⁻¹). Especially, at −15 °C, it also obtains a reversible capacity of 211.7 mAh g⁻¹ at 10.0 A g⁻¹. Assembled pouch‐type cell performs potential application. The insight in this work provides a bright way to interface design for performance improvement in batteries.