Hydrogen peroxide is a highly valuable chemical, and electrocatalytic oxygen reduction towards H2O2 offers an alternative method for safe on‐site applications. Generally, low‐cost hematite (α‐Fe2O3) is not recognized as an efficient electrocatalyst because of its inert nature, but it is herein reported that α‐Fe2O3 can be endowed with high catalytic activity and selectivity via the engineering of facets and oxygen vacancies. Density‐functional theory (DFT)calculations predict that the {001} facet is intrinsically selective for H2O2 production, and that oxygen vacancies can trigger the high activity, providing sites for O2 adsorption and protonation, stabilizing the *OOH intermediate, and preventing cleavage of the OO bond. The synthesized oxygen‐defective α‐Fe2O3 single crystals with exposed {001} facets achieve high selectivities for H2O2 of >90%, >88%, and >95% in weakly acidic, neutral, and alkaline electrolytes, respectively, and the H2O2 production rate reaches 454 mmol g−1cat h−1 at 0.1 V versus RHE under alkaline conditions. In an anion exchange membrane fuel cell, a maximum H2O2 production of 546.8 mmol L−1 with a high Faradaic efficiency of 80.5% is achieved. Thus, this work details a low‐cost catalyst feasible for H2O2 synthesis, and highlights the feasibility of theoretical catalyst design for practical applications.