Unique octahedral yolk‐shell Cu2O@Co(OH)2 nanocages are synthesized by a facile Cu2O self‐templated strategy as efficient glucose oxidation electrocatalysts. Amorphous Co(OH)2 nanoflakes are formed as octahedral shells through coordinating etching conversion from part of Cu2O templates. The un‐etched crystalline Cu2O octahedrons are then remained as cores and voids exist between the cores and shells. The special structure endow these yolk‐shell heterostructure nanocages with abundant active sites, large surface area, and synergistic effect between Cu2O and Co(OH)2. The octahedral yolk‐shell Cu2O@Co(OH)2 nanocages demonstrate superior electrocatalytic activity for glucose oxidation in terms of high sensitivity of 1340 μA cm−2 mM−1, low detection limit of 2 μM, wide linear sensing range, and long‐term stability. This strategy might shed lights on the synthesis of various yolk‐shell heterostructure nanocages with controllable structures and enhanced catalytic performances.