Electro-oxidation reactions as critical half-reactions in both overall and assisted water electrolysis play a pivotal role in realizing highly effective and energy-saving hydrogen generation and achieving simultaneous wastewater degradation. Herein, we synthesize a porous and hierarchical CoSe@NiFe/NF heterostructure electrocatalyst constructed by coupling uniform CoSe nanosheets with well-dispersed Ni(OH)₂ and Fe₂O₃ spherical nanoparticles in situ grown on a Ni foam (NF) substrate via a facile and scalable two-step method (i.e., electrodeposition and hydrothermal treatment). Differing from its monophasic counterpart, the CoSe@NiFe/NF electrode possesses impressive multifunctional electrocatalytic activity, exhibiting low potentials of 1.46, 1.36, 1.38 and 1.38 V at 100 mA cm⁻² for the oxygen evolution reaction (OER), urea oxidation reaction (UOR), methanol oxidation reaction (MOR) and ethanol oxidation reaction (EOR), respectively. Excitingly, the durability is higher than 90 h at high current densities of 400 and 100 mA cm⁻² for the OER and UOR, respectively, without obvious attenuation. In situ Raman spectroscopy and ex situ characterization unveiled the surface self-reconstruction of Ni(OH)₂ and Fe₂O₃ to evolve Ni(Fe)-oxyhydroxides as the real active substances for the OER. Moreover, density functional theory (DFT) calculations further reveal that the reconstructed heterogeneous interface can regulate the intrinsic electronic structure and optimize the adsorption/desorption of reaction intermediates, thereby accelerating charge transfer and facilitating the reaction kinetics during the OER. Interestingly, the asymmetric electrolyte cell (CoSe@NiFe/NF||Pt/C/NF) needs cell voltages of only 1.44 and 1.40 V to drive a current density of 100 mA cm⁻² for overall water and urea splitting with long-term durability for more than 20 h. This study not only provides valuable insights into the intricate mechanisms governing electrocatalysis but also presents a facile and efficient scheme for constructing multifunctional all-in-one electrocatalysts tailored for sustainable green hydrogen production.