Nowadays, PdCu alloy nanocatalyst with excellent performance in electrocatalytic formic acid oxidation reaction (FAOR) is believed to have great potential in application of direct formic acid fuel cells. Structural engineering has shown great success in achieving PdCu alloys with high catalytic performance, while achievement of multi‐scale structure engineering is still a great challenge. In this work, we found that supercritical carbon dioxide (SC CO2) could lead to multi‐scale structure engineering in PdCu/C nanocatalysts, including surface defect engineering, phase engineering, morphology engineering and substrate structure engineering. With the assistance of SC CO2, amorphous phase in surface, the transformation from face‐centered cubic (FCC) to body‐centered cubic (BCC) phase, the morphology of 2D nanoflakes and the curved carbon as substrate all contribute to the ultrahigh mass activity for electrocatalytic FAOR as 3624.3 mA/mgPd in PdCu/C nanocatalysts, which is the highest value in PdCu alloy reported up to now. Therefore, this work not only displays the great potential of SC CO2 in multi‐scale structure engineering, but also provides new inspiration of material design to achieve nanocatalysts with ultrahigh catalytic performance.