Exploring and developing novel strategies for constructing heterostructure electrocatalysts is still challenging for water electrolysis. Herein, a creative etching treatment strategy is adopted to construct NiSe2/Ni0.85Se heterostructure. The rich heterointerfaces between NiSe2 and Ni0.85Se emerge strong electronic interaction, which easily induces the electron transfer from NiSe2 to Ni0.85Se, and tunes the charge‐state of NiSe2 and Ni0.85Se. In the NiSe2/Ni0.85Se heterojunction nanomaterial, the higher charge‐state Ni0.85Se is capable of affording partial electrons to combine with hydrogen protons, inducing the rapid formation of H2 molecule. Accordingly, the lower charge‐state NiSe2 in the NiSe2/Ni0.85Se heterojunction nanomaterial is more easily oxidized into high valence state Ni3+ during the oxygen evolution reaction (OER) process, which is beneficial to accelerate the mass/charge transfer and enhance the electrocatalytic activities towards OER. Theoretical calculations indicate that the heterointerfaces are conducive to modulating the electronic structure and optimizing the adsorption energy toward intermediate H* during the hydrogen evolution reaction (HER) process, leading to superior electrocatalytic activities. To expand the application of the NiSe2/Ni0.85Se‐2h electrocatalyst, urea is served as the adjuvant to proceed with the energy‐saving hydrogen production and pollutant degradation, and it is proven to be a brilliant strategy.