The development of ultrafast synthesis strategies for nanomaterials is highly attractive for their applications in energy conversion and storage. We, herein, demonstrate a rapid strategy that couples Joule heating with wet‐chemistry for synthesizing carbon‐supported Pd‐Se nanoparticles with an ultrafine size of approximately 3.83 nm, which exhibits superior catalytic performance for the oxygen reduction reaction. In particular, the ultrafine Pd‐Se nanoparticles at Pd/Se ratio of 17/15 on the carbon substrate exhibit mass and specific activities of 0.29 A mgPd‐¹ and 0.74 mA cm‐², respectively, significantly surpassing those of their commercial Pd/C counterparts and a number of Pd‐based electrocatalysts reported recently. This liquid Joule‐heating (LJH) approach directly applies Joule heating to a liquid mixture of precursors, capping agents, reducing agents, and carbon substrates, enabling simultaneous optimization of particle size and reduction of reaction time. This study highlights the potential of solvent‐involved Joule‐heating methodologies for the efficient synthesis of nanomaterials tailored for electrocatalytic applications.