Electrochemical nitrate (NO3–) production of ammonia (NH3) is not only a green and efficient NH3 production strategy but also can solve the environmental problem of NO3– excess at the same time, however, there is still a lack of efficient and sensitive electrocatalysts for electrocatalytic NO3– reduction reaction (NO3RR). Herein, for the first time, Pd nanoparticles on Fe- and Ni-doped CoO nanosheets (Pd@FeNi-CoO) composites with enhanced metal–support interfacial interaction were designed as efficient electrocatalysts for NO3RR. Pd@FeNi-CoO composites exhibit a high NH3 yield rate of 20.26 mg h–1 mg–1cat. at −0.8 V versus reversible hydrogen electrode (RHE), outperforming the Pd/FeNi-CoO composites (6.23 mg h–1 mg–1cat.) and FeNi-CoO nanosheets (4.83 mg h–1 mg–1cat.). Following 10 cyclic stability tests, the activity of Pd@FeNi-CoO composites shows almost no decline. Moreover, Pd@FeNi-CoO composites can maintain reactivity at different concentrations of NO3– while also enabling the electrocatalytic reduction of nitrite (NO2–) to NH3. Mechanism studies reveal that enhanced metal–support interfacial interaction and strong interaction between different elements of Pd@FeNi-CoO composites effectively modulate the electronic structure, promoting NO3– adsorption and activation thus enhancing NH3 yield rate. This work opens an innovative pathway for the design and development of NO3RR electrocatalysts with high activity.