This study introduces a novel polyoxometalate (POM) heterostructure designed to address challenges in ultratrace analysis and sensor stability. Supercritical anti‐solvent and hydrothermal methods are employed to fabricate a composite that enhances stability, sensitivity, and selectivity for cysteine (Cys) detection. The optimization of inter‐component interactions and improved dispersibility contributes to superior stability and longevity. These preparation techniques increase the total oxygen vacancy density, which facilitates the migration of surface oxygen vacancies and promotes the electrocatalytic process. Additionally, tuning the band structure effectively suppresses electron–hole recombination, thereby enhancing catalytic capability. The integration of potassium phosphotungstate (KPW) as an electron transport mediator results in a stable “point‐surface” loading structure, increasing active sites and improving the material's specific surface area and catalytic efficiency. The Cu/Zr nanoparticle‐grafted KPW composite (CZPW) demonstrates excellent performance, achieving an ultratrace detection limit of 30.6 pM and a broad linear detection range from 50 pM to 1 mM. Overall, this study elucidates the mechanisms of supercritical preparation and its impact on electrocatalytic Cys reactions, providing valuable insights into the development of highly effective and stable biosensors.