The design of catalysts with tunable active sites in heterogeneous interface structures is crucial for addressing challenges in the water‐splitting process. Herein, a hollow spherical heterostructure FeCo‐P is successfully prepared by hydrothermal and phosphorization methods. This hollow structure, along with the heterogeneous interface between Co2P and FeP, not only facilitates the exposure of more active sites, but also increases the contact area between the catalyst and the electrolyte, as well as shortens the distance for mass/electron transfer. This enhancement promotes electron transfer to facilitate water decomposition. FeCo‐P exhibits excellent hydrogen evolution (HER) and oxygen evolution (OER) performance when reaching @ 10 mA cm−2 in 1 mol L−1 KOH, with overpotentials of 131/240 mV for HER/OER. Furthermore, when FeCo‐P is used as both the cathode and anode for overall water splitting (OWS), it only requires low voltages of 1.49, 1.55, and 1.57 V to achieve CDs of 10, 100, and 300 mA cm−2, respectively. Density functional theory calculations indicate that constructing a Co2P and FeP heterogeneous interface with good lattice matching can facilitate electron redistribution, thereby enhancing the electrocatalytic performance of OWS. This work opens up new possibilities for the rational design of efficient water electrolysis catalysts derived from MOFs.