Rechargeable Na–O2 batteries have attracted great interest because of their high energy density and low cost. But the lack of inexpensive bifunctional efficient electrocatalysts, which can simultaneously boost oxygen reduction reaction (ORR) and oxygen evolution reaction (OER), critically hinders their application. Herein, CoO/CoP heterostructured ultrathin nanosheets with an O–P interpenetrated interface have been synthesized through a controlled phosphatization of Co(CO3)0.5(OH)0.11H2O nanosheets, which combine the advantages of the high OER activity of CoP and the high ORR activity of CoO. ORR and OER activity are simultaneously boosted due to the interpenetration of O–P at the interface of CoO/CoP heterostructure, whose ORR or OER activity even exceeds that of parent CoO or CoP. ORR activity is in this order: CoO/CoP > Co3O4 ≈ CoO > CoP while the order for OER is CoO/CoP > CoP > Co3O4 > CoO. O–P interpenetration improves the conductivity and electron transfer of CoO or CoP owing to the interdoping effect, which is largely responsible for the simultaneous enhancement of OER and ORR activity. The initial capacity, rate capability, and cycle stability of Na–O2 battery using CoO/CoP heterostructured nanosheets as cathode catalysts have been largely improved because of the simultaneous enhancement of OER and ORR activity. Additionally, the phase evolution of the discharged product of Na–O2 battery is also unraveled by in situ X-ray diffraction and ex situ scanning electron microscopy. This study is also instructive to the design of efficient bifunctional electrocatalysts through constructing a heterostructure with an interpenetrated interface.