One important goal of the current electrocatalysis is to develop integrated electrodes from the atomic level design to multilevel structural engineering in simple ways and low prices. Here, a series of oxygen micro‐alloyed high‐entropy alloys (O‐HEAs) is developed via a metallurgy approach. A (CrFeCoNi)97O3 bulk O‐HEA shows exceptional electrocatalytic performance for the oxygen evolution reaction (OER), reaching an overpotential as low as 196 mV and a Tafel slope of 29 mV dec−1, and with stability longer than 120 h in 1 m KOH solution at a current density of 10 mA cm−2. It is shown that the enhanced OER performance can be attributed to the formation of island‐like Cr2O3 microdomains, the leaching of Cr3+ ions, and structural amorphization at the interfaces of the domains. These findings offer a technological‐orientated strategy to integrated electrodes. A new class of bulk electrodes is designed by incorporating oxide microdomains into the so‐called high‐entropy alloys (HEAs). From these, unprecedented oxygen evolution reaction (OER) activity is achieved, with an ultralow overpotential of 196 mV and a Tafel slope of 29 mV dec−1, and with stability longer than 120 h in 1 m KOH solution at current density of 10 mA cm−2.