Herein, a patterned rod‐like CoP@NiCoP core‐shell heterostructure is designed to consist of CoP nanowires cross‐linked with NiCoP nanosheets in tight strings. The interfacial interaction within the heterojunction between the two components generates a built‐in electric field that adjusts the interfacial charge state and create more active sites, accelerating the charge transfer and improving supercapacitor and electrocatalytic performance. The unique core‐shell structure suppresses the volume expansion during charging and discharging, achieving excellent stability. As a result, CoP@NiCoP exhibits a high specific capacitance of 2.9 F cm−2 at a current density of 3 mA cm−2 and a high ion diffusion rate (Dion is 2.95 × 10−14 cm2 s−1) during charging/discharging. The assembled asymmetric supercapacitor CoP@NiCoP//AC exhibits a high energy density of 42.2 Wh kg−1 at a power density of 126.5 W kg−1 and excellent stability with a capacitance retention rate of 83.8% after 10 000 cycles. Furthermore, the modulated effect induced by the interfacial interaction also endows the self‐supported electrode with excellent electrocatalytic HER performance with an overpotential of 71 mV at 10 mA cm−2. This research may provide a new perspective on the generation of built‐in electric field through the rational design of heterogeneous structures for improving the electrochemical and electrocatalytical performance.