Rational design and controllable synthesis of well‐defined nanostructures with high stability and Pt‐like activity for hydrogen evolution reaction (HER) are critical for renewable energy conversion. Herein, a unique pyrolysis strategy is demonstrated for the synthesis of RhPx nanoparticles (NPs) in N, P co‐doped thin carbon nanoshells (RhPx@NPC nanoshells) that display high electrocatalytic activity and stability over a wide pH range. This strategy involves simultaneous phosphorization and pyrolysis processes that can produce highly‐dispersed RhPx NPs within N, P co‐doped carbon nanoshells and at the same time induce thinning of carbon nanoshells from inside out. The resulting RhPx@NPC nanoshells not only possess Pt‐like activity for HER with low overpotentials to achieve 10 mA cm−2 (22 mV in 0.5 m H2SO4, 69 mV in 1.0 m KOH, and 38 mV in 1.0 m phosphate buffered saline (PBS)) but also provide long‐term durability in a wide pH range. The remarkable HER performance of RhPx@NPC nanoshells is ascribed to the high surface area, abundant mesoporosity, strong catalyst–support interaction, ultrathin carbon encapsulation, and N, P co‐doping. This work provides an effective strategy for designing heterostructured electrocatalysts with high catalytic activity and stability desired for reactions that may occur under harsh conditions. A unique pyrolysis strategy is demonstrated for the synthesis of RhPx nanoparticles in N, P co‐doped carbon nanoshells that display high electrocatalytic activity and stability over a wide pH range. This strategy involves simultaneous phosphorization and pyrolysis processes that can produce highly dispersed RhPx nanoparticles within carbon nanoshells and induce thinning of carbon nanoshells from the inside out.