Cryogels have morphological features that make them interesting for several applications such as catalysis, sensing or tissue engineering. Their interconnected network and open porous structure, build up by primary particles (such as inorganic nanocrystals or polymers), provide these materials with unique physical properties and high specific surface areas. While the library of cryogels is endless, widely used in the polymer chemistry field, in this review we will summarize the structure and properties, applications and challenges of inorganic nanocrystal‐based cryogels obtained by freezing and freeze‐drying an aqueous nanoparticle colloid. This fast, easy and versatile gelation method will be outlined, along with the corresponding macro‐, micro‐ and nano‐structures and gel morphologies that can be obtained, for example, by changing the freezing temperature or by using one nanoparticle system or nanoparticle mixtures. Their applications towards electrocatalysis, photocatalysis and photoelectrochemical sensing will be highlighted, as well as the challenges and prospects of these materials.