The rational design of nickel‐based cathodes with highly ordered micro‐nano hierarchical architectures by a facile process is fantastic but challenging to achieve for high‐capacity and high‐rate Ni–Zn batteries. Herein, a one‐step etching–deposition–growth process is demonstrated to prepare hierarchical micro‐nano sheet arrays for Ni–Zn batteries with outstanding performance and high rate. The fabrication process is conducted at room temperature without any need of heating and stirring, and the as‐grown nickel–cobalt double hydroxide (NiCo‐DH) supported on conductive nickel substrate is endowed with a unique 3D hierarchical architecture of micro‐nano sheet arrays, which empower the effective exposure of active materials, easy electrolyte access, fast ion diffusion, and rapid electron transfer. Benefiting from these merits in combination, the NiCo‐DH electrode delivers a high specific capacity of 303.6 mAh g⁻¹ and outstanding rate performance (80% retention after 20‐fold current increase), which outperforms the electrodes made of single Ni(OH)₂ and Co(OH)₂, and other similar materials. The NiCo‐DH electrode, when employed as the cathode for a Ni–Zn battery, demonstrates a high specific capacity of 329 mAh g⁻¹. Moreover, the NiCo‐DH//Zn battery also exhibits high electrochemical energy conversion efficiency, excellent rate capability (62% retention after 30‐fold current increase), ultrafast charge characteristics, and strong tolerance to the high‐speed conversion reaction.