Electrocatalytic water splitting to produce hydrogen is a promising route to provide green hydrogen on a large scale. To explore non-noble metal electrocatalysts with high performance is still a challenge. Herein, a one-step electrodeposition way is developed to construct the heterostructural (NiO-La2O3)/(Ni-La)/NiO/Ni electrocatalysts on Ni foam. The dark Ni-La coating was prepared by co-electrodeposition from an aqueous solution containing LaCl3 and NiCl2 with a molar concentration ratio of 1:5. Among these heterostructural Ni-based electrocatalysts, an excellent HER activity is achieved: an overpotential of 22 mV at the current density of 10 mA cm−2 in 1 M KOH solution. It is demonstrated that the introduction of La significantly reduces the overpotential for HER. The higher the La content in the Ni-La coating of these electrocatalysts, the better the electrocatalytic HER performance was exhibited. This work provides a facile and inexpensive route to prepare Ni-La coating on electrodes in an aqueous solution.