As a promising technology to mitigate global carbon emissions, photothermal catalytic CO2 reduction remains a great challenge in increasing the conversion efficiency and regulating the product selectivity. Herein, a series of phase‐separated Ni–Mo alloy catalysts for efficient photothermal CO2 reduction with tunable CO selectivity is reported. With the increase of Mo content, the evolution rate and selectivity of CO increases. The optimal catalyst Ni1Mo1 achieves 32.1% CO2 conversion with 98.0% of CO selectivity and 71.1 mmol gcat−1 h−1 of CO evolution rate under a 300 W xenon lamp irradiation. Further increasing the Mo content reduces the CO evolution rate while maintaining the high CO selectivity. In the mechanistic study, it is revealed that the Ni–Mo alloy with an appropriate Ni/Mo ratio (e.g., Ni1Mo1) possesses a modified electronic structure with more negative d‐band center, which increases the light absorption, reduces the H2 dissociation, and favors the CO desorption, thereby leading to efficient and selective photothermal reduction of CO2 to CO. In this work, a viable strategy to design nickel‐based catalysts is provided for efficient and selective photothermal CO2 reduction via composition‐mediated modification of electronic structure.