Hydrogen evolution reaction (HER) is an important process in electrochemical energy technology, and efficient electrocatalysts are of great significance for renewable and sustainable energy conversion. Here, we report a facile hydrothermal and heat treatment process to synthesize a series of Pt-based nanocapsules (NCs) as an effective hydrogen evolution catalyst. The Pt/TeOx NCs exhibit excellent HER activity in an alkaline medium. The Pt/TeOx NCs only need the overpotential of 33 mV to achieve the current density of 10 mA cm−2, and the Tafel slope was as low as 29 mV dec−1, which was even better than that of commercial Pt/C. Detailed experimental characterizations demonstrate that the interface between the crystalline Pt/amorphous TeOx and the strong electron transfer contribute to alkaline HER activity. This work opens up a new direction for the preparation of efficient catalysts for electrocatalytic reactions or other conversion filed.