Transition metal oxides (TMOs) are promising anode materials for next‐generation lithium‐ion batteries (LIBs). Nevertheless, their poor electronic and ionic conductivity as well as huge volume change leads to low capacity release and rapid capacity decay. Herein, a reduced graphene oxide (rGO)‐encapsulated TMOs strategy is developed to address the above problems. The Co3O4‐CoFe2O4@rGO composites with rGO sheets‐encapsulated Co3O4‐CoFe2O4 microcubes are successfully constructed through a simple metal‐organic frameworks precursor route, in which Co[Fe(CN)5NO] microcubes are in situ coated by graphene oxide sheets, followed by a two‐step calcination process. As anode material of LIBs, Co3O4‐CoFe2O4@rGO exhibits remarkable reversible capacity (1393 mAh g−1 at 0.2 A g−1 after 300 cycles), outstanding long‐term cycling stability (701 mAh g−1 at 2.0 A g−1 after 500 cycles), and excellent rate capability (420 mAh g−1 at 4.0 A g−1). The superior lithium storage performance can be attributed to the unique double‐buffer structure, in which the outer flexible rGO shells can prevent the structure collapse of the electrode and improve its conductivity, while the hierarchical porous cores of Co3O4‐CoFe2O4 microcubes can buffer the volume expansion. This work provides a general and straightforward strategy for the construction of novel rGO‐encapsulated bimetal oxides for energy storage and conversion application.