Synthesis of ultrasmall metal-organic framework (MOF) nanoparticles has been widely recognized as a promising route to greatly enhance their properties but remains a considerable challenge. Herein, we report one facile and effective spatially confined thermal pulverization strategy to successfully transform bulk Co-MOF particles into sub-5 nm nanocrystals encapsulated within N-doped carbon/graphene (NC/G) by using conducting polymer coated Co-MOFs/graphene oxide as precursors. This strategy involves a feasible mechanism: calcination of Co-MOFs at proper temperature in air induces the partial thermal collapse/distortion of the framework, while the uniform coating of a conducting polymer can significantly improve the decomposition temperature and maintain the component stability of Co-MOFs, thus leading to the pulverization of bulk Co-MOF particles into ultrasmall nanocrystals without oxidation. The pulverization of Co-MOFs significantly increases the contact area between Co-MOFs with electrolyte and shortens the electron and ion transport pathway. Therefore, the sub-5 nm ultrasmall MOF nanocrystals-based composites deliver an ultrahigh reversible capacity (1301 mAh g-1 at 0.1 A g-1), extraordinary rate performance (494 mAh g-1 at 40 A g-1), and outstanding cycling stability (98.6% capacity retention at 10 A g-1 after 2000 cycles), which is the best performance achieved in all reported MOF-based anodes for lithium-ion batteries.