Although the Co-Ni-M (M = O, S, P and Se) materials exhibit excellent oxygen evolution or hydrogen evolution properties, they still display inferior overall water splitting activity, thus hindering their large-scale practical industrial application. Constructing a heterogeneous Co-Ni-M/oxide interface (M = O, S, P and Se) would be a promising approach to enhance the water splitting performance of Co-Ni-M (M = O, S, P and Se) samples in an alkaline medium, however, that it remains unexplored and challenged. In this paper, the Co-Ni-M@CeO2/NF (M = O, S, P and Se) electrodes was firstly in situ grown on three-dimensional (3D) conductive nickel foams (NF) support through selective sulfuration, phosphorization and selenylation of the Co-Ni-O@CeO2 under a N2 atmosphere. The Co-Ni-S@CeO2/NF display superior oxygen evolution reaction performance with requiring overpotential of 170 mV@20 mA cm−2 and Co-Ni-P@CeO2/NF display excellent hydrogen evolution reaction activity with requiring an overpotential 120 mV@10 mA cm−2 in an alkaline medium. What’s more, an electrode pairing of Co-Ni-S@CeO2/NF//Co-Ni-P@CeO2/NF was assembled for overall water splitting using the Co-Ni-S@CeO2/NF material as anodic catalyst together with the Co-Ni-P@CeO2/NF material as efficient cathodic catalyst. The assembled alkaline electrolyzer required a relatively small cell voltage of 1.60 V to obtain a current density of 10 mA cm−2, which is one of the best electrocatalytic activities reported so far. The Co-Ni-S@CeO2/NF//Co-Ni-P@CeO2/NF also displayed relatively satisfactory durability and the current density had no significant attenuation during a 10 h electrocatalytic measurement in 1.0 M KOH. This selective sulfuration, phosphorization and selenylation strategy is effective in developing the M hybrid /oxide interface (M = O, S, P and Se) for overall water splitting applications.