Poor interfacial stability, undesired side reactions, and sluggish reaction kinetics greatly impair the zinc storage performance of vanadium‐based cathode materials. Here, an in situ electrochemical conversion strategy is employed to synergistically deal with these issues. Through the initial electrochemically charging, the CaV4O9 cathode is reconstructed into an oxygen‐deficient navajoite V5O12−x·6H2O (HVOd) coated by gypsum (CaSO4·2H2O (GP)) layers, denoted as GP‐HVOd. The GP interphase with “desiccant” properties can not only suppress the vanadium dissolution, but also regulate the desolvation of hydrated Zn2+ through its strong hydrophilicity and space confinement, thus facilitating the interfacial kinetics with reduced activation energy. With less water molecules eroding the HVOd bulk phase, the typical water‐induced by‐products can also be eliminated. Moreover, highly reversible Zn2+ storage is guaranteed by HVOd with in situ generated oxygen defects. Under such coordination, GP‐HVOd delivers a high capacity of 402.5 mA h g−1, excellent cycling stability at 0.2 A g−1 with 99.7% capacity retention after 200 cycles, mighty rate performance, and high tolerance to sub‐zero environments (143.2 mA h g−1 retained at 3 A g−1 and −25 °C). This work provides a new opportunity to propel the development of highly efficient zinc‐storage cathodes.