The exploration of efficient metal-based bifunctional catalysts for electrochemical water splitting is a promising approach for large-scale applications. In this work, we constructed a FeS2@CoS2 heterostructure electrocatalyst by a facile solution-dipping and hydrothermal method. The optimum FeS2@CoS2 heterostructure showed notable oxygen evolution reaction (OER) and hydrogen evolution reaction (HER) performances, with overpotential values of 280 mV and 136 mV (10 mA cm−2 current density), respectively. Additionally, the electrocatalyst exhibited a robust stability performance of 50 h at a current density of 10 mA cm−2. The two-cell electrolyzer is assembled using FeS2@CoS2||FeS2@CoS2 and delivers a cell voltage of 1.62 V and 1.99 V at 10 and 50 mA cm−2 current densities with excellent durability. The outstanding overall water-splitting activity of the obtained heterostructure can be attributed to effective electronic interactions, synergistic effects, and exposure of more reactive active sites in the electrocatalyst. This work presents a promising strategy for developing highly active and cost-effective metal sulfide-based bifunctional electrocatalysts for energy conversion technology.