Electrocatalysts with hollow structure and appropriate components are favorable for the water splitting application. Prussian blue analogs (PBAs) have recently been utilized to synthesize the corresponding derivatives with various functions because of their diverse geometries and tunable constituents. Herein, novel CoFeP nanocages are obtained from CoFe-PBA nanocube precursor via a facile phosphorization route. The porous hollow structure and unique multivoid interior provide exposed active sites and large surface area. For the CoFeP catalyst, both Co and Fe serve as active sites, and the synergism between them induces optimized electronic structure. The resulting CoFeP nanocages act as advanced OER catalyst in alkaline medium, delivering a current density of 10 mA cm⁻² at a very low overpotential of 180 mV, a small turnover frequency of 0.93 s⁻¹ at the overpotential of 270 mV, and superior stability.