A Cu(I)‐catalyzed three‐component reaction of terminal enynals/enynones, diazo compounds, and alkenes has been developed. With this method, a series of oxabicyclo[2.2.2]octanes were effectively synthesized in high yields under mild reaction conditions. This transformation is proposed to proceed through trapping of the cyclic vinyl‐o‐quinodimethanes (vinyl‐o‐QDMs) species, which were generated from terminal enynals/enynones and diazo compounds by alkenes.