Abstract2D orthorhombic palladium diselenide is attracting rapidly increased interest by virtue of its fascinating physical properties and feasibility of phase transformation. However, it remains a major challenge to produce ultrathin PdSe2 through a facile chemical route and control phase transformation because of its anisotropic structure with strong interlayer coupling. Here, the efficient synthesis of few‐layer PdSe2 nanosheets with large sizes using an electrochemical exfoliation approach is reported. Upon thermal annealing at 300–350 °C, the as‐exfoliated PdSe2 nanosheets transform into metallic phase PdSe2‐x, as verified by scanning transmission electron microscopy, Raman spectroscopy, and electrical characterizations. Simple encapsulation using hexagonal boron nitride (h‐BN) can effectively suppress the Se‐loss triggered phase transformation, so that a metal‐semiconductor junction is formed by local phase modification. The fabricated PdSe2 field‐effect transistors exhibit p‐type transport property, which is in stark contrast to electron‐dominated ambipolar transport of pristine PdSe2 devices. The combination of high‐resolution X‐ray photoelectron spectroscopy and cross‐sectional transmission electron microscopy analysis reveals that the modulation of carrier polarity in h‐BN encapsulated PdSe2 should arise from the p‐doping effect associated with the impact of interfacial condition. The study opens up a new route for future phase‐engineered electronics in PdSe2 and other 2D noble metal dichalcogenides materials.