Prussian blue (PB) and its analogues (PBAs) are promising cathode materials for sodium ion batteries (SIBs) because of their wide diffusion tunnels for sodium ions. However, water molecules typically contained within PB structures have been hypothesized to undermine their stability and rate performance. Here we report that zeolite water molecules in PB structures may induce the formation of Na2CO3 as one of the main components in SEI layer on the surface of PB materials. From PB samples containing zeolite water synthesized via a solvothermal method at different temperatures, a specific capacity of 113 mAh g−1 is demonstrated at 10 mA g−1, with a capacity retention of 75% at 1000 mA g−1. Cycling tests reveal a capacity loss of only 1.2% after 100 cycles at 200 mA g−1. It is suggested that Na2CO3 contained in the SEI layer not only protects the electrode materials from side reactions with the electrolyte, but also facilitates quick charge transfer at the interfaces, leading to improved electrochemical performances.