Efficient and stable nonprecious metal electrocatalysts for oxygen reduction are of great significance in some important electrochemical energy storage and conversion systems. As a unique class of porous hybrid materials, metal–organic frameworks (MOFs) and their composites are recently considered as promising precursors to derive advanced functional materials with controlled structures and compositions. Here, an “MOF-in-MOF hybrid” confined pyrolysis strategy is developed for the synthesis of porous Fe–Co alloy/N-doped carbon cages. A unique “MOF-in-MOF hybrid” architecture constructed from a Zn-based MOF core and a Co-based MOF hybrid shell encapsulated with FeOOH nanorods is first prepared, followed by a pyrolysis process to obtain a cage-shaped hybrid material consisting of Fe–Co alloy nanocrystallites evenly distributed inside a porous N-doped carbon microshell. Of note, this strategy can be extended to synthesize many other multifunctional “nanosubstrate-in-MOF hybrid” core–shelled structures. Benefiting from the structural and compositional advantages, the as-derived hybrid cages exhibit superior electrocatalytic performance for the oxygen reduction reaction in alkaline solution. The present approach may provide some insight in design and synthesis of complex MOF hybrid structures and their derived functional materials for energy storage and conversion applications.