Graphdiyne (GDY) is fascinating in the construction of efficient and stable catalysts, but their performance is still somewhat restricted due to GDY’s thicker layers, as well as hydrophobic and relatively chemically inert surfaces. Herein, via oxidation-exfoliation-reduction strategy, the self-supported electrode material of CoP nanosheets with ultrathin oxygen-containing GDY wrapping (CoP@RGDYO) for effective HER is constructed. The wrapping of ultrathin oxygen-containing GDY promotes charge transfer, improves the surface property, and enhances the acid and alkali resistance as well as the structural stability of the catalyst. As a result, CoP@RGDYO shows enhanced activity and stability in both acidic and alkaline media. Especially, it exhibits a low overpotential of 86 mV and exceptional stability under a 14000-cycle cyclic voltammetry scanning in alkaline media. This work provides new ideas for the design of GDY hybrid materials and the preparation of high-efficiency catalysts.