Abstract Exploring effective electrocatalysts is a crucial requirement for boosting the efficiency of water splitting to obtain clean fuels. Here, a self‐templating strategy is reported to synthesize Ni–Fe mixed diselenide cubic nanocages for the electrocatalytic oxygen evolution reaction (OER). The diselenide nanocages are derived from corresponding Prussian‐blue analog nanocages, which are first obtained by treating the nanocube precursor with a site‐selective ammonia etchant. The resulting Ni–Fe mixed diselenide nanocages perform as a superior OER electrocatalyst, which affords a current density of 10 mA cm −2 at a small overpotential of 240 mV; a high current density, mass activity, and turnover frequency of 100 mA cm −2 , 1000 A g −1 , and 0.58 s −1 , respectively, at the overpotential of 270 mV; a Tafel slope as small as 24 mV dec −1 ; and excellent stability in alkaline medium.