The use of efficient and affordable non‐precious metal catalysts for hydrogen and oxygen evolution reactions is vital for replacing and widely implementing new energy sources. Nevertheless, improving the catalytic performance of these non‐precious‐metal bifunctional electrocatalysts continues to be a major challenge. In this article, an optimized Se‐incorporated bulk CoS2@MoS2 heterostructure grown on the surface of carbon nanotubes is reported. The resulting Se‐CoS2@MoS2/CNTs exhibit robust bifunctional electrocatalytic performance, with low overpotentials of 85 and 240 mV @ 10 mA·cm−2 for HER and OER, respectively. The materials exhibit superior long‐term stability of over 145 h, surpassing most electrocatalysts of similar type. This enhanced performance is attributed to the synergistic effect at the interface between the MoS2 and CoS2 phases, abundant active sites, and high active surface area, which collectively improves the electron‐transfer efficiency during the reaction process. Furthermore, the incorporation of the amorphous state of Se into the heterostructure yields a change in the crystallinity of the heterostructure in the electronic structure, which optimizes the adsorption and activation energy barriers of the catalytic intermediate. This study thus presents a promising approach to regulating anion doping in bifunctional electrocatalysts.