Designing earth‐abundant and efficient electrocatalysts to replace noble metals is highly desired for the hydrogen evolution reaction (HER) in water electrolysis. In this study, we constructed a self‐supported electrode with ordered mesoporous carbon film coated carbon fibers as a substrate and Co doped FeS2 nanoparticles as catalytically active phase for the HER. The ordered mesoporous carbon served as nanoreactor to restrict the growth of sulfide particles and prevent them from agglomeration, leading to the formation of ultrafine and highly dispersed sulfide of ∼5 nm, which enables the exposure of abundant active sites. Meanwhile, the Co atom doping enhanced the adsorption of the catalyst towards hydrogen, thereby improving its intrinsic activity. As a result, the electrode exhibited outstanding catalytic activity for the HER in acid electrolyte, manifesting a current density of 10 mA cm−2 at an overpotential of 92 mV and a small Tafel slope of 59 mV dec−1.