3D ZIF‐67‐particles‐impregnated cellulose‐nanofiber nanosheets with oriented macropores are synthesized via directional‐freezing‐assisted in situ self‐assembly, and converted to 3D CoP‐nanoparticle (NP)‐embedded hierarchical, but macropores‐oriented, N‐doped carbon nanosheets via calcination and phosphidation. The obtained nanoarchitecture delivers overpotentials at 10 and 50 mA cm−2 and Tafel slope of 82.1 and 113.4 mV and 40.8 mV dec−1 in 0.5 M H2SO4, and of 97.1 and 136.6 mV and 51.2 mV dec−1 in 1 M KOH, all of which are superior to those of the most reported non‐noble‐metal‐based hydrogen evolution reaction (HER) catalysts. This catalyst even surpasses commercial Pt/C for a much lower overpotential at high current densities, which is essential for large‐scale hydrogen production. Its catalytic activity can be further optimized to become one of the best in both 0.5 M H2SO4 and 1 M KOH. The outstanding catalytic activity is ascribed to the uniformly‐dispersed small CoP NPs in the 3D carbon sheets and the hierarchical nanostructure with rich oriented pores. This work develops a facile, economical, and universal self‐assembly strategy to fabricate uniquely nanostructured hybrids to simultaneously promote charge transfer and mass transport, and also offers an inexpensive and high‐performance HER catalyst toward industry‐scale water splitting.