Developing heterostructures with well-defined interfaces is attracting ever-increasing interest toward the development of advanced electrocatalysts. Herein, hexagonal boron nitride (h-BN) nanosheets are reported as a multifunctional support for constructing efficient electrocatalysts for the oxygen reduction reaction (ORR). h-BN/Pd heterostructured electrocatalysts with decent activity and long-term durability are designed and synthesized by confining Pd nanoparticles (NPs) on ultrathin h-BN nanosheets. The robust h-BN serves as a durable platform to maintain the structural integrity of the heterostructured catalysts. Both experimental findings and theoretical calculations reveal that the strong interaction between h-BN and Pd downshifts the Pd d-band center and hence optimizes the affinity with the reaction intermediates. Meanwhile, h-BN also endows the heterostructured catalysts with superhydrophobic surfaces, promoting the diffusion kinetics of O2. These findings open a new avenue for the rational design and development of heterostructured catalysts by interface engineering toward electrocatalysis applications.