Hydrogen energy with a high fuel value is considered to be one of the most important renewable and clean energy sources in sustainable energy. Electrocatalytic water splitting is the best way to produce hydrogen sustainably on a large scale. In this work, the sand rose‐like MoSe2/NiSe/NiFe layered double hydroxide (NiFe‐LDH) catalyst is obtained by a two‐step hydrothermal method for hydrogen evolution (HER) and oxygen evolution reaction (OER). The three‐dimensional (3D) hierarchical structure is observed by SEM, TEM, XRD and XPS, and the results showed that there is strong electronic interaction among the components, which promotes electron transfer and improves catalytic activity. In the alkaline environment, the catalyst exhibits excellent HER and OER performance, the current density of 10 mA cm−2 requires only 130 mV and 136 mV overpotential, respectively. In the water splitting system composed of MoSe2/NiSe/NiFe‐LDH as both cathode and anode, only 1.51 V voltage reaches the current density of 10 mA cm−2, and workes continuously for more than 120 h at 100 mA cm−2 current density with excellent stability. The Faraday efficiency of hydrogen production is close to 100 %. This study provides a promising strategy for the preparation of efficient electrocatalyst for overall water splitting.