Electrochemical water splitting is considered to be a green and flexible strategy for the mass production of hydrogen fuel, while the high cost and insufficent activity of current cathode catalysts severely suffocate the widespread thriving of hydrogen economy. Herein, we present a bottom‐up assembly strategy to the controllable construction of 2D/2D heterojunctions built from cobalt‐iron selenide nanolamellas and Ti3C2Tx MXene nanosheets. This unique architectural design gives the resulting CoyFe1‐ySe2/Ti3C2Tx catalysts a series of interesting structural advantages, such as 2D/2D heterostructure, large active surface areas, modulated electronic structure, uniform CoyFe1‐ySe2 dispersion, and good electron conductivity, thereby leading to strong synergistic coupling effects. As a consequence, the optimized Co0.7Fe0.3Se2/Ti3C2Tx electrocatalyst with an appropriate Co/Fe ratio possesses unusual hydrogen evolution properties in terms of a low overpotential of 69 mV at 10 mA cm‐2, a small Tafel slope of 51 mV dec‐1 and reliable long‐term durability, which are more competitive than those of bare Ti3C2Tx, FeSe2 and CoSe catalysts.