Abstract Reliable detection and conversion of reactive oxygen species are central to energy conversion, environmental catalysis, and chemical sensing. However, existing electrocatalysts and nanozymes often suffer from complex synthesis, poor interfacial stability, and limited activity. Here, a green, ambient laser‐induced synchronous loading (LISL) strategy is reported that enables one‐step fabrication of ultrasmall (<5 nm) high‐entropy alloy nanoparticles (HEA NPs) uniformly anchored within a nitrogen‐doped laser‐induced graphene (LIG‐N) scaffold. This mask‐free laser writing ensures strong metal–support coupling, inhibits sintering and oxidation, and exposes abundant stable active sites. Density functional theory (DFT) calculations reveal that nitrogen doping reverses interfacial charge transfer, enhances orbital hybridization, upshifts the d‐band centers of Pt, Rh, and Ru, and lowers the H 2 O 2 dissociation barrier from 0.51 to 0.28 eV, thereby boosting peroxide electrocatalysis and peroxidase‐mimicking activity. The resulting HEA/LIG‐N demonstrates a high specific catalytic activity (952.3 U mg −1 ) and superior electron transport, enabling highly sensitive on‐chip dual‐mode (electrochemical/colorimetric) detection. This scalable and energy‐efficient methodology establishes a versatile platform for robust HEA‐based catalytic architectures, bridging fundamental electrocatalysis with integrated environmental and bioanalytical devices.