Electrochemical nitrogen reduction reaction (NRR) is considered as one of the most promising methods for NH₃ synthesis under room temperature and ambient pressure. A grand challenge of NRR is the development of efficient electrocatalysts, for which the delicate nanostructuring of catalysts plays an important role. Herein, a series of Fe-doped Cu₂–ₓS quantum dots (QDs) are synthesized with multiple active sites and interface engineering, in which the double-phase heterostructure plays a key role for boosting NRR activity. The yield of NH₃ was obviously improved with the increase of Fe content from 0 to 3% but started to decrease with Fe from 3 to 9%. The optimized Fe₃%–Cu₂–ₓS QDs show an outstanding NH₃ yield of 26.4 μg h–¹ mg–¹cₐₜ at −0.7 V (vs the reversible hydrogen electrode), which is 5 times higher than that of Cu₂–ₓS QDs. More importantly, we observed that the highest NRR activity in Fe₃%–Cu₂–ₓS QDs was ascribed to the formation of an inherent double-phase heterostructure of Cu₂–ₓS/Cu₅FeS₄, whereas the complete conversion to single-phase Cu₅FeS₄ with increased Fe doping (9%) resulted in the activity decrease. Further, N₂ temperature-programmed desorption and electrochemical impedance spectra characterizations confirm the stronger chemical adsorption of N₂ and faster charge transfer in the Cu₂–ₓS/Cu₅FeS₄ QDs. A plausible mechanism was proposed for the double-phase Cu₂–ₓS/Cu₅FeS₄ heterostructure, where the interface provides efficient charge transfer and more active sites of Cu, Fe, and S for the synergetic adsorption and activation of N₂. Our work provides a simple strategy for the design of NRR electrocatalysts, which may also bring new inspiration for the preparation of the inherent double-phase heterostructure within other doped QDs.