The excellent conductivity and fast redox kinetics of transition metal phosphides (TMPs) have made them a suitable electrode material for energy storage in the field of supercapacitors (SCs). In this paper, coral-like Cu3P/CoP heterostructures have been obtained by a simple solid-phase grinding and subsequent phosphating method. Importantly, the Cu3P/CoP heterostructure can provide sufficient charge to further accelerate the Faraday kinetics of the redox reaction due to its ability to generate an internal electric field, thus improving its electrochemical performance. Through density-functional theory (DFT) computations, it is demonstrated that the heterostructures of Cu3P/CoP enhances the metal-like conductivity of the composite, exhibiting more electron-occupied states around the Fermi energy level and improves the charge-transfer efficiency of the heterostructure. The results show that the Cu3P/CoP-1 composite with a 1:1 Cu/Co molar ratio has the best electrochemical performance. At 1 A·g−1, it exhibits an excellent specific capacitance of 804.3 F·g−1, and when the current density is increased to 10 A·g−1, it retains its capacitance for 92.8% of 10,000 cycles. Furthermore, with a power density of 806.23 W·kg−1, an asymmetric supercapacitor (ASC) built using Cu3P/CoP-1 as the cathode may produce an energy density of 37.40 Wh·kg−1. The reasonable design of heterostructures of bimetallic TMPs in this research offers a workable plan for exploring electrode materials with excellent capacitive properties.