A composite electrode of poly(3,4‐ethylenedioxythiophene) (PEDOT)@4A‐molecular sieve is synthesized by a simple electrochemical polymerization method for supercapacitor applications. The prepared PEDOT@4A‐molecular sieve composite exhibits excellent capacitive behavior, with high reversibility in the electrochemical window from −0.8 V and 0.2 V. The specific capacitance of the PEDOT@4A‐molecular sieve composite electrode reaches 163.4 F g−1 at 0.25 A g−1, that is much higher than those of the pristine 4A‐molecular sieve (14.8 F g−1) and PEDOT (117.0 F g−1) electrodes at the same conditions. The composite electrode also presents excellent cycle stability, and the specific capacitance retains 82.8% of its initial value after continuous 1000 charge‐discharge cycles. This work indicates that synthesis of a composite electrode is a promising approach for enhancing the electrochemical properties of the supercapacitor electrode due to the synergistic effect.