We describe for the first time the theory of frequency modulation (FM) response in distributed feedback (DFB) lasers with two active segments. FM response is enhanced due to two‐segment operation; the enhancement decreases at higher modulation frequencies and higher photon densities. Bandwidth of the response can extend to the multigigahertz range. The FM response is dramatically different in lasers operating in the red‐ and blue‐shifted static tuning regimes. We find good agreement between the theory and our measurements of multigigahertz FM response of two‐segment DFB lasers.