Abstract At present, it is still a great challenge to synthesize refractory Pt‐based electrocatalysts with excellent active specific surface area, specific activity, and stability by a simple method. Here, a superfast and solvent‐free microwave strategy is reported to synthesize refractory ultrafine (≈3 nm) Pt–lanthanide@Ketjen Black (PtM@KB, M = La, Gd, Tb, Er, Tm, and Yb) alloy with densely packed as efficient hydrogen evolution electrocatalysts in a domestic microwave oven for the first time. The optimized Pt 61 La 39 @KB delivers excellent hydrogen evolution reaction (HER) activity with a low overpotential of 38 mV (10 mA cm −2 ) and a high TOF value of 44.13 s −1 (100 mV) in 0.5 m H 2 SO 4 , and performs well in 1.0 m KOH. This method can also be used to grow catalysts on carbon cloth (CC) directly. PtLa@CC shows an overpotential of 99 mV (1000 mA cm −2 ) in 0.5 m H 2 SO 4 and can maintain activity after 500 h. Theoretical calculations reveal the enhanced stability and activity owing to the higher vacancy formation energy of Pt atoms and the optimized value of Δ G H* . Solvent‐free microwave strategy constitutes a significant insight into the development of refractory electrocatalyst with ultrafine size and highly dense, which can also work well at high current densities.