Strong metal‐support interaction (SMSI) has drawn much attention in heterogeneous catalysts due to its stable and excellent catalytic efficiency. However, construction of high‐performance oxide‐capsulated metal nanostructures meets great challenge in materials thermodynamic compatibility. In this work, dynamically controlled formation of oxide‐capsulated metal nanoparticles (NPs) structures is demonstrated by ultrafast laser plasmonic nanowelding. Under the strong localized electromagnetic field interaction, metal (Au) NPs are dragged by an optical force toward oxide NPs (TiO2). Intense energy is simultaneously injected into this heterojunction area, where TiO2 is precisely ablated. With the embedding of metal into oxide, optical force on Au gradually turned from attractive to repulsive due to the varied metal‐dielectric environment. Meanwhile, local ablated oxides are redeposited on Au NP. Upon the whole coverage of metal NP, the implantation behavior of metal NP is stopped, resulting in a controlled metal‐oxide eccentric structure with capsulated oxide layer thickness ≈0.72–1.30 nm. These oxide‐capsulated metal NPs structures can preserve their configurations even after thermal annealing in air at 600 °C for 10 min. This ultrafast laser plasmonic nanowelding can also extend to oxide‐capsulated metal nanostructure fabrication with broad materials combinations (e.g., Au/ZnO, Au/MgO, etc.), which shows great potential in designing/constructing nanoscale high‐performance catalysts.