Developing cost‐efficient multifunctional electrocatalysts is highly critical for the integrated electrochemical energy‐conversion systems such as water electrolysis based on hydrogen/oxygen evolution reactions (HER/OER) and metal‐air batteries based on OER/oxygen reduction reactions (ORR). The core–shell structured materials with transition metal phosphide as the core and nitrogen‐doped carbon (NC) as the shell have been known as promising HER electrocatalysts. However, their oxygen‐related electrocatalytic activities still remain unsatisfactory, which severely limits their further applications. Herein an effective strategy to improve the core and shell performances of core–shell Co2P@NC electrocatalysts through secondary metal (e.g., Fe, Ni, Mo, Al, Mn) doping (termed M‐Co2P@M‐N‐C) is reported. The as‐synthesized M‐Co2P@M‐N‐C electrocatalysts show multifunctional HER/OER/ORR activities and good integrated capabilities for overall water splitting and Zn‐air batteries. Among the M‐Co2P@M‐N‐C catalysts, Fe‐Co2P@Fe‐N‐C electrocatalyst exhibits the best catalytic activities, which is closely related to the configuration of highly active species (Fe‐doping Co2P core and Fe‐N‐C shell) and their subtle synergy, and a stable carbon shell for outstanding durability. Combination of electrochemical‐based in situ Fourier transform infrared spectroscopy with extensive experimental investigation provides deep insights into the origin of the activity and the underlying electrocatalytic mechanisms at the molecular level.