Strong metal‐support interaction (SMSI) between transition metal nanoparticles and carbon matrix offers significant structure advantages due to the ability to modulate the electronic structure of metal nanoparticles, increase the density of active sites, and improve the conductivity of catalysts. Here, ultrafine nanoparticles of metallic molybdenum compounds (MoP, Mo2C, and MoS2) strongly coupled with mesoporous carbon CMK‐5 are synthesized. The confinement growth of nanoparticles in the pores of CMK‐5 produces encapsulated nanoparticles, affording facilitated electron transfer, and enhancing the HER activity induced by the SMSI effect. The hierarchical nanostructure and strong electronic interactions between the carbon substrate and molybdenum‐based nanoparticles allow efficient mass/electron transport between the carbon substrate and molybdenum‐based nanoparticles, improving the catalytic hydrogen evolution reaction (HER) activity. The effective electron exchange between the Mo species and the CMK‐5 support is studied by X‐ray photoelectron spectroscopy (XPS) measurement, confirming the presence of the SMSI effect. The resulting MoP/CMK‐5 catalyst exhibits outstanding HER performance in alkaline (65 mV@10 mA cm−2), acidic (123 mV@10 mA cm−2), and simulated seawater electrolytes (103 mV@10 mA cm−2), making it one of the most promising catalysts reported for HER. This work provides guidance on designing high‐performance electrocatalysts with SMSI for the enhancement of the electrochemical reaction.