Lattice oxygen‐mediated mechanism of oxygen evolution reaction can overcome the scaling relations‐induced limitations imposed by conventional adsorption evolution mechanism, but faces challenges in maximizing activation of lattice oxygen species. The flexible structure of three‐phase heterostructured catalysts provides the possibility for high‐performance electrocatalysis, yet still face the bottleneck of synthesis difficulty and insufficient regulation. Herein, a facile quenching route is proposed for the synthesis of core‐shell catalysts, and the influence mechanism of three‐phase heterostructure on quenching engineering is elucidated. High‐temperature LaNiO3 nanoparticles are quenched in FeSO4 solution to construct a LaNiO3/Fe(OH)3 core‐shell structure by inducing rapid hydrolysis of Fe2+. The differential thermal expansion coefficient between LaNiO3 and Fe2O3, as well as the three‐phase interfaces composed of core‐shell structure and amorphous/crystalline phases in Fe2O3 shell, result in significant surface/interface regulation for LaNiO3/Fe2O3 core‐shell catalysts during re‐quenching in Co(NO3)2 solution, including richer lattice distortion and defects, and more heteroatom doping. The derived three‐phase heterostructured catalysts exhibit significantly improved oxygen electrocatalytic activity with lattice oxygen participation, and the assembled liquid zinc‐air batteries show excellent output power density and cycling performance. Our finding provides important insights into the synthesis of three‐phase heterostructured catalysts and the regulation of heterogeneous interfaces through quenching engineering.