Gradient hierarchically porous structures are effective for enhancing catalytic reactions due to their capability of enabling fast mass transfer from solutions to inner active sites. However, facile and rational designing of the construction with uniform spatial gradients and high stability remains challenging. Here, a self‐supporting high‐entropy alloy (HEA) catalyst with a unique triple‐scale gradient porosity based on physical metallurgy is reported. The hierarchically porous structure of the catalyst can be effectively manipulated by tailoring the multi‐length scale phases of a negative mixing enthalpy FeCoNiCr‐Zr eutectic HEA. As an oxygen‐evolving catalyst, the hierarchically porous HEA demonstrates low overpotentials of 215 and 370 mV at 10 mA cm−2 and 1A cm−2, respectively. This is primarily attributed to the gradient mesoporosity providing abundant accessible reactive sites and exceptional intrinsic reactivity resulting from the synergistic electronic effects of multi‐component alloying. Furthermore, benefiting from the integrative gradient porosity that can suppress drastic gas bubble impact and the chemically stable configuration of inherent high‐entropy intermetallic compounds, the catalyst exhibits extraordinary durability for over 1000 h at 2 A cm−2. This work provides a new paradigm for developing high‐efficiency and low‐cost catalysts with robust gradient hierarchically porous structures for practical applications in various energy conversion technologies.