In geophysical exploration and similar applications, magnetometers need to capture the complete magnetic field information, including both the magnitude and direction. Despite recent advancements in vector atomic magnetometers, they often face issues that hinder practical use. To overcome this, a high dynamic range single‐beam vector atomic magnetometer based on the nonlinear magneto‐optical rotation (NMOR) effect is proposed, utilizing a closed‐loop system with applied three‐axis modulation magnetic fields. In this method, closed‐loop measurement is achieved using a phase‐locked loop (PLL), with the frequencies of the applied modulation magnetic fields being significantly higher than the response bandwidth of the PLL. This allows directional information to be extracted from the modulation fields response signal and magnitude information from the PLL‐locked frequency. A theoretical analysis of the proposed method is conducted by establishing an NMOR atomic magnetometer model under arbitrary magnetic field directions and deriving the method for obtaining the magnetic field direction. In further experimental validation, it is demonstrated that the vector atomic magnetometer can achieve measurement of three‐axis vector magnetic fields, with a sensitivity of approximately for magnetic field magnitude, for inclination angle, and for azimuth angle.