With the serious intensification of energy shortage and greenhouse effect, people begin to look for the sustainable energy sources to replace fossil energy sources. Herein, self-supporting expanded graphite sheet (SSEGS) was developed as an ideal catalyst support through electrochemically intercalating flexible graphite sheet in alkaline solution. Electroless deposition was employed to synthesize Ni–Cu–P alloy on SSEGS and then an amorphous NiFe hydroxide/Ni–Cu–P/SSEGS (NiFe–OH/Ni–Cu–P/SSEGS) composite catalyst was further constructed through electrodeposition. Benefitting from the unique structural advantage of SSEGS and the synergistic effect between two amorphous Ni-based materials (Ni–Cu–P alloy and NiFe–OH), the resulting electrode exhibited superior bifunctional electrocatalytic performance in 1 M KOH. For H2 evolution reaction and O2 evolution reaction, the NiFe–OH/Ni–Cu–P/SSEGS composite catalyst could reach 10 mA cm−2 at low overpotentials of 75 and 240 mV, respectively. Remarkably, the two-electrode system driven by NiFe–OH/Ni–Cu–P/SSEGS as the anode and cathode could afford 10 mA cm−2 at a low cell voltage of 1.56 V vs. RHE. And after the 12 h stability test, the cell voltage at 10 mA cm−2 increased by only 7 mV, indicating that the two-electrode system had excellent stability. The preparation of NiFe–OH/Ni–Cu–P/SSEGS material with superior bifunctional electrocatalytic performance has a significance influence to the development and expansion of hydrogen production technology.