Conversion of solar energy into H2 by photoelectrochemical (PEC) water splitting is recognized as an ideal way to address the growing energy crisis and environmental issues. In a typical PEC cell, the construction of photoanodes is crucial to guarantee the high efficiency and stability of PEC reactions, which fundamentally rely on rationally designed semiconductors (as the active materials) and substrates (as the current collectors). In this review work, we start with a brief introduction of the roles of substrates in the PEC process. Then, we provide a systematic overview of representative strategies for the controlled fabrication of photoanodes on rationally designed substrates, including conductive glass, metal, sapphire, silicon, silicon carbide, and flexible substrates. Finally, some prospects concerning the challenges and research directions in this area are proposed.