Developing bifunctional electrocatalysts with efficient and stable catalytic performance at high current density to improve the productivity of water splitting is important for relieving the environmental pollution and energy crisis. Herein, the Ni₄Mo and Co₃Mo alloy nanoparticles were anchored on MoO₂ nanosheets (H-NMO/CMO/CF-450) by annealing the NiMoO₄/CoMoO₄/CF (CF: self-made cobalt foam) under Ar/H₂ atmosphere. Benefitting from the nanosheets structure, synergistic effect of the alloys, existence of oxygen vacancy and the cobalt foam with smaller pore sizes as conductive substrate, the self-supported H-NMO/CMO/CF-450 catalyst demonstrates outstanding electrocatalytic performance, which delivers small overpotential of 87 (270) mV at 100 (1000) mA·cm⁻² for HER and 281 (336) mV at 100 (500) mA·cm⁻² for OER in 1 M KOH. Meanwhile, the H-NMO/CMO/CF-450 catalyst is used as working electrodes for overall water splitting, which just require 1.46 V @ 10 mA·cm⁻² and 1.71 V @ 100 mA·cm⁻², respectively. More importantly, the H-NMO/CMO/CF-450 catalyst can stabilize for 300 h at 100 mA·cm⁻² in both HER and OER. This research provides an idea for the preparation of stable and efficient catalysts at high current density.