The efficiency of CO2 electroreduction has been largely limited by the activity of the catalysts as well as the three‐phase interface. Herein, a multiscale strategy is proposed to synthesize hierarchical nanofibers covered by carbon nanotubes and embedded with cobalt nanoparticles (Co/CNT/HCNF). The confinement effect of carbon nanotubes can restrict the diameter of the cobalt particles down to several nanometers and prevent the easy corrosion of these nanoparticles. The three‐dimensional carbon nanofibers, in size range of several hundred nanometers, improve the electrochemically active surface area, facilitate electron transfer, and accelerate CO2 transportation. These cross‐linked carbon nanofibers eventually form a freestanding Co/CNT/HCNF membrane of dozens of square centimeters. Consequently, Co/CNT/HCNF produces CO with 97% faradaic efficiency at only −0.4 VRHE cathode potential in an H‐type cell. From the regulation of catalyst nanostructure to the design of macrography devices, Co/CNT/HCNF membrane can be directly used as the gas‐diffusion compartment in a flow cell device. Co/CNT/HCNF membrane generates CO with faradaic efficiencies higher than 90% and partial current densities greater than 300 mA cm−2 for at least 100‐h stability. This strategy provides a successful example of efficient catalysts for CO2 electroreduction and also has the feasibility in other self‐standing energy conversion devices.