The large‐scale application of water electrolysis to produce high purity H2 greatly relies on the development of highly efficient and stable catalysts. In this field, substantial progress has been witnessed during the past years, and self‐standing electrode represents a remarkable milestone. A series of problems associated with common powder catalysts, including insufficient active sites exposure, limited mass transfer, easily peeling off, etc., can be solved by the construction of self‐standing electrode. However, there is still room for further performance enhancement. Therefore, the latest achievements and challenges on the design of advanced self‐standing electrodes for water electrolysis is summarized in this review. Firstly, we outline the methods for controllable synthesis of self‐standing electrodes. Then, particular attention is paid to the adopted strategies for tuning the structure and surface electron configuration of the electrodes, as well as the related performance enhancement mechanisms. Finally, remaining challenges and future perspectives for development of advanced self‐standing electrodes for water electrolysis are concluded.