Display omitted •A novel CoP/CeO2 heterostructure is developed by the selective phosphidation of Co(OH)3/CeO2 precursor.•CoP/CeO2 heterostructure possesses abundant interface active sites and oxygen vacancies.•CoP/CeO2 heterostructure exhibits outstanding performance towards oxygen evolution reaction.•A Zn-air battery with CoP/CeO2 + Pt/C as air-cathode shows impressive long-life cycling stability. Exploring cost-effective and high-efficiency electrocatalyst for the oxygen evolution reaction (OER) is critical for renewable energy conversion and storage. Herein, we report a novel and high-efficiency OER catalyst by simply interface engineering of CoP nanosheets and CeO2 nanoparticles. Such interface-regulated strategy triggers the generation of abundant oxygen vacancies and more catalytically active sites on the surface of CoP/CeO2 heterostructure; while regulates the electronic structure of CoP and CeO2 resulting in fast charge-transfer capacity. For the OER, the CoP/CeO2 heterostructure exhibits an extremely low overpotential of about 224 mV at 10 mA cm−2, which is superior to that of CoP (380 mV), CeO2 (628 mV) and RuO2 (355 mV) counterparts. Furthermore, a high-power rechargeable Zn-air battery with impressive long-life cycling stability (over 500 cycles) is demonstrated based on CoP/CeO2 + Pt/C as the air–cathode. The present findings not only place CoP/CeO2 heterostructure as an outstanding electrocatalyst for the OER, but also offer a promising interface-regulated strategy for the development of high-performance electrocatalyts.