Hierarchical FeCoS2–CoS2 double‐shelled nanotubes have been rationally designed and constructed for efficient photocatalytic CO2 reduction under visible light. The synthetic strategy, engaging the two‐step cation‐exchange reactions, precisely integrates two metal sulfides into a double‐shelled tubular heterostructure with both of the shells assembled from ultrathin two‐dimensional (2D) nanosheets. Benefiting from the distinctive structure and composition, the FeCoS2–CoS2 hybrid can reduce bulk‐to‐surface diffusion length of photoexcited charge carriers to facilitate their separation. Furthermore, this hybrid structure can expose abundant active sites for enhancing CO2 adsorption and surface‐dependent redox reactions, and harvest incident solar irradiation more efficiently by light scattering in the complex interior. As a result, these hierarchical FeCoS2–CoS2 double‐shelled nanotubes exhibit superior activity and high stability for photosensitized deoxygenative CO2 reduction, affording a high CO‐generating rate of 28.1 μmol h−1 (per 0.5 mg of catalyst). The unique structure of hierarchical FeCoS2–CoS2 double‐shelled nanotubes constructed by ultrathin nanosheets can sufficiently inhibit recombination of electrons and holes by shortening diffusion length, exploit incident visible light by enhancing scattering in the cavity, and expose abundant active sites for redox reactions. Benefiting from these advantages, the obtained FeCoS2–CoS2 hybrid exhibits outstanding performance for CO2‐to‐CO conversion powered by solar light.