Prussian blue analogue (PBA), with a three-dimensional open skeleton and abundant unsaturated surface coordination atoms, attracts extensive research interest in electrochemical energy-related fields due to facile preparation, low cost, and adjustable components. However, it remains a challenge to directly employ PBA as an electrocatalyst for water splitting owing to their poor charge transport ability and electrochemical stability. Herein, the PBA/rGO heterostructure is constructed based on structural engineering. Graphene not only improves the charge transfer efficiency of the compound material but also provides confined growth sites for PBA. Furthermore, the charge transfer interaction between the heterostructure interfaces facilitates the electrocatalytic oxygen evolution reaction of the composite, which is confirmed by the results of the electrochemical measurements. The overpotential of the PBA/rGO material is only 331.5 mV at a current density of 30 mA cm−2 in 1.0 M KOH electrolyte with a small Tafel slope of 57.9 mV dec−1, and the compound material exhibits high durability lasting for 40 h.