Despite recent advances in colloidal hydrogels, designing general and robust strategies that enable the controlled fabrication of colloidal hydrogels with strong mechanical properties still proves challenging. Herein, the statistical copolymerization‐induced self‐assembly (stat‐PISA) of monomers with hydrogen bonding ability is developed as a general strategy for colloidal hydrogels with high stretchability, anti‐swelling, and self‐healing abilities. This concept is first verified by the statistical dispersion copolymerization of acrylic acid and diacetone acrylamide, yielding statistical copolymer colloidal particles that further coalesced into a 3D colloidal network due to the hydrogen bonding interactions and hydrophobic microdomains on the colloidal surface. Both the microstructure and the mechanical properties of the colloidal hydrogels can be readily regulated by varying the stat‐PISA formulation. Besides, the colloidal hydrogel is developed as a selective dye adsorbent, with excellent selectivity for positively charged dyes. Due to its anti‐swelling property, the colloidal hydrogel is evaluated as a flexible strain sensor for motion detection underwater. The broad feasibility of this strategy is demonstrated by three additional stat‐PISA formulations, which all yielded colloidal hydrogels with good mechanical properties. This strategy is anticipated to inspire the design of colloidal hydrogels with robust mechanics and tailor‐made functionality, and broaden the potential applications of colloidal hydrogels.