Oxygen electrocatalysis involving the oxygen reduction reaction (ORR) and oxygen evolution reaction (OER) plays a vital role in cutting-edge energy conversion and storage technologies. In situ studies of the evolution of catalysts during oxygen electrocatalysis can provide important insights into their structure - activity relationships and stabilities under working conditions. Among the various in situ characterization tools available, in situ electron microscopy has the unique ability to perform structural and compositional analyzes with high spatial resolution. In this review, we present the latest developments in in situ and quasi-in situ electron microscopic techniques, including identical location electron microscopy, in situ liquid cell (scanning) transmission electron microscopy and in situ environmental transmission electron microscopy, and elaborate their applications in the ORR and OER. Our discussion centers on the degradation mechanism, structural evolution and structure - performance correlations of electrocatalysts. Finally, we summarize the earlier discussions and share our perspectives on the current challenges and future research directions of using in situ electron microscopy to explore oxygen electrocatalysis and related processes.