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MXene, as a new member of the two‐dimensional (2D) material family, has been widely studied. However, people often pay close attention to the versatility of MXene while ignoring its low exfoliation yield. In this work, a simplified and effective strategy to exfoliate multilayer‐MXene via the gentle water freezing‐and‐thawing (FAT) approach is proposed. The volume expansion of intercalated water can promote the exfoliation of MXene nanosheets. The yield of large FAT‐MXene flakes with special wrinkles can reach 39% after four cycles of the FAT process. Moreover, combining with sonication treatment can boost the yield of small MXene to a record high value of 81.4%. With the help of a commercial interdigital mask, an on‐chip all‐MXene micro‐supercapacitor (MSC) assembled by large FAT‐MXene is fabricated, exhibiting high areal and volumetric capacitance of 23.6 mF cm⁻² and 591 F cm⁻³, respectively. This …