The development of bifunctional electrochemically-active micro-/nanomaterials with heterostructures for both supercapacitors and hydrogen evolution reaction (HER) enables the possibility to integrate energy storage and conversion into one single system. Herein, heterostructural NiCo₂S₄@MoS₂ materials have been successfully prepared using zeolitic imidazolate frameworks as templates, including transformation to bimetallic layered double hydroxide, and sequential sulfuration. The smart process entails an assembly of MoS₂ nanosheets on NiCo₂S₄ nanobuilding blocks with hollow core–shell nanoarchitectures. Specifically, when tested as an electrode in a supercapacitor, it can deliver an increased specific capacitance of 860 F g⁻¹ at a current density of 1 A g⁻¹, superior rate capability and cyclic stability. Furthermore, the NiCo₂S₄@MoS₂ heterostructure also efficiently electrocatalyzes the HER in an alkaline electrolyte with a low overpotential of 194 mV, a favorable HER kinetics and better long-term stability. Results of both scenarios attest to the enhanced electrochemical performance of the NiCo₂S₄@MoS₂ heterostructure compared to its NiCo₂S₄ counterpart, which is attributed to the hollow porous core–shell structures, nanointerface engineering and the synergistic effect between NiCo₂S₄ and MoS₂. This work will broaden our horizons in designing and fabricating multifunctional active materials for next generation energy storage and conversion applications.