AbstractPrussian blue analogs (PBAs) are promising catalysts for green hydrogen production. However, the rational design of high‐performing PBAs is challenging, which requires an in‐depth understanding of the catalytic mechanism. Here FeMn@CoNi core–shell PBAs are employed as precursors, together with Se powders, in low‐temperature pyrolysis in an argon atmosphere. This synthesis method enables the partial dissociation of inner FeMn PBAs that results in hollow interiors, Ni nanoparticles (NPs) exsolution to the surface, and Se incorporation onto the PBA shell. The resulting material presents ultralow oxygen evolution reaction (OER) overpotential (184 mV at 10 mA cm−2) and low Tafel slope (43.4 mV dec−1), outperforming leading‐edge PBA‐based electrocatalysts. The mechanism responsible for such a high OER activity is revealed, assisted by density functional theory (DFT) calculations and the surface examination before and after the OER process. The exsolved Ni NPs are found to help turn the PBAs into Se‐doped core–shell metal oxyhydroxides during the OER, in which the heterojunction with Ni and the Se incorporation are combined to improve the OER kinetics. This work shows that efficient OER catalysts could be developed by using a novel synthesis method backed up by a sound understanding and control of the catalytic pathway.