Multi-component metal sulfide heterostructures are promising for multi-functional catalytic activities. In this work, we fabricated a multi-component metal sulfide heterostructure (Co-S-INF, composed of Co₃S₄ and (Fe, Ni)₉S₈) with nanoflower morphology clustered with numerous nanosheets by the electrodeposition of cobalt on iron–nickel foam followed by hydrothermal sulfurization treatment. Co-S-INF possesses high multi-functional electrocatalytic properties toward the oxygen evolution reaction (OER), oxygen reduction reaction (ORR), hydrogen evolution reaction (HER), and methanol oxidation reaction (MOR). In particular, the ORR potential at 10 mA cm⁻² is 0.682 V, and the OER, HER, and MOR potentials at 100 mA cm⁻² are 1.478 V, 0.289 V, and 1.417 V, respectively. By using Co-S-INF, the aqueous ZAB with an ultrahigh peak power density of 332.30 mW cm⁻² and an overall water splitting (OWS) device with a low splitting voltage of 1.82 V at 100 mA cm⁻² can be obtained. In addition, the OWS potential can be further decreased to 1.70 V at a current density of 100 mA cm⁻² with the assistance of MOR at the anode accompanying the production of the high value-added formate. Our work opens the way for the application and development of multi-functional electrocatalysts.