Electrocatalytic reduction is a sustainable approach for NO3− removal and high‐value N‐containing compounds manufacturing, which, however, is strongly obstructed by sluggish kinetics, low selectivity, and poor stability. Herein, the in situ confinement of ultrasmall CuPd alloy nanoparticles in mesochannels of conductive core–shell structured carbon nanotubes@mesoporous carbon substrates (CNTs@mesoC@CuPd) via a simple molecule‐mediated interfacial assembly method is reported. As a catalyst for electrocatalytic NO3− reduction, the CNTs@mesoC@CuPd shows a splendid conversion efficiency (100%), N2 selectivity (98%), cycling stability (>30 days), and removal capacity as high as 30 000 mg N g−1 CuPd, which are much superior to most of the prior reports. Notably, experimental (in situ testing and isotopic labeling) and theoretical results unveil that bimetallic and monometallic catalysts for electrocatalytic NO3− reduction exhibit exclusive selectivity for N2 and NH3, respectively. This in situ confinement strategy is universal for the synthesis of stable and highly accessible metallic catalysts, which opens an appealing way to synthesize advanced catalysts with high activity, selectivity, and stability.