Developing active, robust, and nonprecious electrocatalysts for the hydrogen evolution reaction (HER), oxygen evolution reaction (OER), and oxygen reduction reaction (ORR) is highly crucial and challenging. In this work, a facile strategy is developed for scalable fabrication of dicobalt phosphide (Co2P)–cobalt nitride (CoN) core–shell nanoparticles with double active sites encapsulated in nitrogen‐doped carbon nanotubes (Co2P/CoN‐in‐NCNTs) by straight forward pyrolysis method. Both density functional theory calculation and experimental results reveal that pyrrole nitrogen coupled with Co2P is the most active one for HER, while Co–N–C active sites existing on the interfaces between CoN and N‐doped carbon shells are responsible for the ORR and OER activity in this catalyst. Furthermore, liquid‐state and all‐solid‐state Zn–air batteries are equipped. Co2P/CoN‐in‐NCNTs show high power density as high as 194.6 mW cm−2, high gravimetric energy density of 844.5 W h kg−1, very low charge–discharge polarization, and excellent reversibility of 96 h at 5 mA cm−2 in liquid system. Moreover, the Co2P/CoN‐in‐NCNTs profiles confirm excellent activity for water splitting. Dicobalt phosphide–cobalt nitride core–shell particles act as double active centers and are encapsulated into the channel of N‐doped carbon nanotubes by an in situ one‐step self‐assembly and confined pyrolysis approach, which is demonstrated to afford trifunctional performance in catalyzing hydrogen evolution reaction, oxygen evolution reaction, and oxygen reduction reaction for Zn–air batteries and water splitting.