Rational designing of the composition and structure of electrode material is of great significance for achieving highly efficient energy storage and conversion in electrochemical energy devices. Herein, MoS2/NiS yolk–shell microspheres are successfully synthesized via a facile ionic liquid‐assisted one‐step hydrothermal method. With the favorable interface effect and hollow structure, the electrodes assembled with MoS2/NiS hybrid microspheres present remarkably enhanced electrochemical performance for both overall water splitting and asymmetric supercapacitors. In particular, to deliver a current density of 10 mA cm−2, the MoS2/NiS‐based electrolysis cell for overall water splitting only needs an output voltage of 1.64 V in the alkaline medium, lower than that of Pt/C–IrO2‐based electrolysis cells (1.70 V). As an electrode for supercapacitors, the MoS2/NiS hybrid microspheres exhibit a specific capacitance of 1493 F g−1 at current density of 0.2 A g−1, and remain 1165 F g−1 even at a large current density of 2 A g−1, implying outstanding charge storage capacity and excellent rate performance. The MoS2/NiS‐ and active carbon‐based asymmetric supercapacitor manifests a maximum energy density of 31 Wh kg−1 at a power density of 155.7 W kg−1, and remarkable cycling stability with a capacitance retention of approximately 100% after 10 000 cycles.