In response to alleviate the escalating environmental pollution and energy scarcity, the development of a cost-effective, efficient, and stable bifunctional oxygen reduction/evolution reaction (ORR/OER) electrochemical catalyst for new energy conversion devices holds significant value. In this context, we present a two-step hydrothermal/annealing synthesis approach of CoFe alloy nanoparticles on nitrogen-doped ultra-thin carbon nanosheets as an excellent ORR/OER bifunctional catalyst. The hydrothermal process facilitates the intercalation of CoFe layered double hydroxide (CoFe LDH) onto the nitrogen-doped ultra-thin carbon layer, followed by an in-situ transformation into carbon-coated nano-alloy particles (Co₃Fe₇@NCNS) during high-temperature annealing. Co₃Fe₇@NCNS exhibits exceptional ORR activity (E_onset = 0.962 V, E_1/2 = 0.869 V) and bifunctional electrocatalytic performance, accompanied by a low reversible overvoltage of 0.82 V. Combining X-ray Absorption Fine Structure (XAFS) spectroscopy and Density Functional Theory (DFT) calculations, we elucidate that the strong interactions between the synthesized Co₃Fe₇@NCNS alloy particles optimize the adsorption energy of oxygen intermediates, thereby playing a crucial role in enhancing catalytic activity. Furthermore, the Co₃Fe₇@NCNS-equipped Zn-air battery demonstrates a higher open-circuit voltage of 1.46 V and remarkable power density of 202.8 mW cm^-2. It also exhibits excellent cycling stability, with a high specific capacity of 779.2 mA h g^-1, outperforming that of the Pt/C-RuO₂ counterpart.