Developing low-cost and high-performance hydrogen evolution reaction (HER) electrocatalysts is essential for the development of hydrogen energy. While transition metal sulfides are reported as promising HER electrocatalysts, their performance still requires further improvement for practical application. In this work, we report a strategy to construct NiSx@MoS2 heterostructures with a well-defined interface structure by growing NiSx nanoclusters on MoS2 nanosheets through atomic layer deposition (ALD). NiSx@MoS2 heterostructures exhibit strongly enhanced HER activity with lower overpotential and faster reaction dynamic compared to MoS2 and NiSx single phases. The enhanced performance is attributed to improved adsorption of the reaction intermediates and the facilitated charge transfer process near the MoS2/NiSx interfaces. Besides high activity, NiSx@MoS2 heterostructures also exhibit high stability in alkaline media. The methodology and knowledge in this work can guide the rational design of high-performance electrocatalysts through hetero-interface engineering.