The transition metal hexacyanoferrate (MHCF, M represents as Fe, Co, Ni, et al), has been studied and applied intensively in biosensor, catalysts, ion exchanger, molecular magnets and gas storage, but as yet remains largely unexplored for electrochemical energy storage device. This study shows that NiHCF can be uniformly deposited into the matrix of poly(4-vinylpyridine) grafted onto multiwalled carbon nanotubes (MWCNTs), and forms coaxial NiHCF/MWCNT nanocables with MWCNTs as core and NiHCF as shell. A different NiHCF content was loaded onto MWCNTs, and their electrochemical behavior and capacitive performance were determined. The as-prepared NiHCF/P4VP-g-MWCNT hybrids can possess a huge specific capacitance up to 1035F·g−1 at a discharge density of 0.05A·g−1. These capacitance will decay by 10% at 25.6A·g−1. They remain 92.7% of its initial capacitance at 2A·g−1 after 10000 discharge/charge cycles. Their energy density is nearly 56.2Wh·kg−1 at a power density of 10W·kg−1. Their good electrochemical reversibility, high cyclic stability and excellent capacitive performance suggest a promising use as an advanced material for supercapacitors.