Single atom alloys (SAA) have recently drawn increased attention due to their unique structure, high atomic utilization, and fascinating catalytic performance. However, their controllable synthesis still presents a challenge. This study proposes an electrochemical self-catalysis (ESC) strategy to synthesize Pd@Pt/C SAA catalysts, that is, depositing Pt atoms on Pd nanocrystals through in situ decomposition of sodium formate. The relationship between composition and structure of Pd@Pt/C is distinguished through a combination of electrochemical analysis, sphere-corrected scanning transmission electron microscopy, and X-ray adsorption spectra. That relationship evolved from SAA to a sea-island structure and even a core–shell structure with composition-controllable atomic ratios, highlighting the great diversity and convenience of this method in nanostructure construction. The Pd@Pt/C SAA catalyst showed excellent catalytic activity to formic acid oxidation with a peak current density of 5.2 A/mgmetal, which is about 18.6 times that of the commercial Pd/C. density functional theory calculations revealed that the enhanced activity was due to the “passivation” of Pd sites near the Pt single atoms, which attenuated the adsorption of CO. Based on electrochemical principles, this ESC strategy was also expanded to prepare a series of Pd-based SAA, including Pd–Au, Pd–Ir, and Pd–Bi.