Inspired by the oriented, gradient, and heterogeneous characters of natural materials, an oriented and gradient cocontinuous structure is designed to obtain excellent mechanical performance via a gradient shear stress and temperature during melt processing. The investigation of hierarchical structure containing phase morphology, crystalline morphology, and lamellae in the cocontinuous structure can clarify the role of gradient shear stress and temperature in promoting gradient and oriented features. Given such oriented and gradient features in the cocontinuous structure, a notable enhancement in the tensile strength, tensile modulus, elongation at break, and impact strength is achieved in the model poly(butylene adipate‐ran‐terephthalate)/poly(butylene succinate) biodegradable cocontinuous blends. Compared with the isotropic cocontinuous structure, homogenous structure and discrete phase structure, oriented and gradient cocontinuous structure provides a promising balance of strength, hardness, and toughness. Local reinforcement is achieved by highly oriented cocontinuous phase, crystal, and lamellae in skin layer. Meanwhile, the toughness is achieved by weakly oriented cocontinuous phase. The tuning of cocontinuous structure with gradient and oriented features is suggested as a new pathway toward the development of “materials systems” with unprecedented mechanical performance.