Constructing and manipulating hetero‐interfaces for the electrocatalytic hydrogen evolution reaction (HER) is highly desirable, but still poses a significant challenge. Herein, this work adopts a facile way to controllably synthesize three different hetero‐interfaces by anchoring ultrafine Ru nanoparticles on various MoOx nanotube (NT) substrates, including MoO2, MoO2/MoO3, and MoO3. Remarkably, MoO2@Ru NT displays excellent HER activity with tiny overpotentials of 89 and 131 mV delivering large current densities of 500 and 1000 mA cm−2, respectively, far surpassing two other hetero‐interfaces, commercial Ru/C, Pt/C catalysts. Impressively, this hetero‐interface even achieves an exceptionally large current density of 4000 mA cm−2 at an overpotential of 322 mV. Moreover, MoO2@Ru NT presents exceptional stability for at least 100 h at 1000 mA cm−2 with negligible degradation. Both experimental observations and theoretical calculations suggest that moderate electron transfer from Ru to MoO2 enhances the water dissociation kinetics, and optimizes the hydrogen adsorption/desorption, thus simultaneously speeding up the HER kinetics. Furthermore, an anion exchange membrane electrolyzer assembled by obtained MoO2@Ru NT as a cathode electrocatalyst, shows attractive activity and excellent durability, with a low voltage of 1.78 V at 1000 mA cm−2, and a prolonged time period for 200 h at 1000 mA cm−2.