It is imperative to develop an efficient catalyst to reduce the energy barrier of electrochemical water decomposition. In this study, a well-designed electrocatalyst featuring a core–shell structure was synthesized with cobalt sulfides as the core and molybdenum disulfide nanosheets as the shell. The core–shell structure can prevent the agglomeration of MoS2, expose more active sites, and facilitate electrolyte ion diffusion. A CoS2/MoS2 heterostructure is formed between CoS2 and MoS2 through the chemical interaction, and the surface chemistry is adjusted. Due to the morphological merits and the formation of the CoS2/MoS2 heterostructure, CoS2@MoS2 exhibits excellent electrocatalytic performance during the oxygen evolution reaction (OER) process in an alkaline electrolyte. To reach the current density of 10 mA cm−2, only 254 mV of overpotential is required for CoS2@MoS2, which is smaller than that of pristine CoS2 and MoS2. Meanwhile, the small Tafel slope (86.9 mV dec−1) and low charge transfer resistance (47 Ω) imply the fast dynamic mechanism of CoS2@MoS2. As further confirmed by cyclic voltammetry curves for 1000 cycles and the CA test for 10 h, CoS2@MoS2 shows exceptional catalytic stability. This work gives a guideline for constructing the core–shell heterostructure as an efficient catalyst for oxygen evolution reaction.