The scalable and cost‐effective H2 fuel production via electrolysis demands an efficient earth‐abundant oxygen and hydrogen evolution reaction (OER, and HER, respectively) catalysts. In this work, for the first time, the synthesis of a sheet‐like Zn1‐xFex–oxyselenide and Zn1‐xFex–LDH on Ni‐foam is reported. The hydrothermally synthesized Zn1‐xFex–LDH/Ni‐foam is successfully converted into Zn1‐xFex–oxyselenide/Ni‐foam through an ethylene glycol‐assisted solvothermal method. The anionic regulation of electrocatalysts modulates the electronic properties, and thereby augments the electrocatalytic activities. The as‐prepared Zn1‐xFex–LDH/Ni‐foam shows very low OER and HER overpotentials of 263 mV at a current density of 20 mA cm−2 and 221 mV at 10 mA cm−2, respectively. Interestingly, this OER overpotential is decreased to 256 mV after selenization and the HER overpotential of Zn1‐xFex–oxyselenide/Ni‐foam is decreased from 238 to 202 mV at 10 mA cm−2 after a stability test. Thus, the Zn1‐xFex–oxyselenide/Ni–foam shows superior bifunctional catalytic activities and excellent durability at a very high current density of 50 mA cm−2. More importantly, when the Zn1‐xFex–oxyselenide/Ni‐foam is used as the anode and cathode in an electrolyzer for overall water splitting, Zn1‐xFex–oxyselenide/Ni‐foam(+)ǁZn1‐xFex–oxyselenide/Ni‐foam(‐) shows an appealing potential of 1.62 V at 10 mA cm−2. The anionic doping/substitution methodology is new and serves as an effective strategy to develop highly efficient bifunctional electrocatalysts.