Boosting the hydrogen evolution reaction (HER) activity of α‐MoB2 at large current densities and in pH‐universal medium is significant for efficient hydrogen production. In this work, Co2B/MoB2 heterostructured nanoclusters are prepared by molten‐salt electrolysis (MSE) and then used as a HER catalyst. The composition, structure, and morphology of Co2B/MoB2 can be modulated by altering the stoichiometries of raw materials and synthesis temperatures. Impressively, the obtained Co2B/MoB2 at optimized conditions exhibits a low overpotential of 297 and 304 mV at 500 mA cm−2 in 0.5 m H2SO4 and 1 m KOH, respectively. Moreover, the Co2B/MoB2 catalyst possesses a long‐term catalytic stability of over 190 h in both acidic and alkaline medium. The excellent HER performance is due to the modified electronic structure at the Co2B/MoB2 heterointerface where electrons are accumulated at the Mo sites to strengthen the H adsorption. Density functional theory (DFT) calculations reveal that the formation of the Co2B/MoB2 heterointerface decreases the H adsorption and H2O dissociation free energies, contributing to the boosted HER intrinsic catalytic activity of Co2B/MoB2. Overall, this work provides an experimental and theoretical paradigm for the design of efficient pH‐universal boride heterostructure electrocatalysts.