Exploring advanced electrocatalysts for electrocatalytic hydrogen evolution is highly desired but remains a challenge due to the lack of an efficient preparation method and reasonable structural design. Herein, we deliberately designed novel Ag/WO3−x heterostructures through a supercritical CO2‐assisted exfoliation‐oxidation route and the subsequent loading of Ag nanoparticles. The ultrathin and oxygen vacancies‐enriched WO3−x nanosheets are ideal substrates for loading Ag nanoparticles, which can largely increase the active site density and improve electron transport. Besides, the resultant WO3−x nanosheets with porous structure can form during the electrochemical cycling process induced by an electric field. As a result, the exquisite Ag/WO3−x heterostructures show an enhanced hydrogen evolution reaction (HER) activity with a low onset overpotential of ≈30 mV, a small Tafel slope of ≈40 mV dec−1 at 10 mA cm−2, and as well as long‐term durability. This work sheds light on material design and preparation, and even opens up an avenue for the development of high‐efficiency electrocatalysts.