The effects of H2O in heterogeneous catalysis of COx (CO2, CO) hydrogenation have been intricate and controversial for many years. On the one hand, H2O molecules and their derivatives (O, H, OH) serve as reactants or co‐reactants, playing a role in modulating the reaction pathway through specific mechanisms. On the other hand, the presence of H2O can influence the catalytic performance by altering the physicochemical properties of the catalyst, such as particle size and chemical state, among others. More importantly, the dual role of H2O leads to both positive and negative outcomes, challenging our understanding of its impact. In this mini review, the relevant research results are summarized in terms of the promoting and inhibiting effects of H2O of the COx hydrogenation reaction (e.g., synthesis of methanol, Fischer‐Tropsch synthesis, methanation, etc.) and discussed from the perspective of catalyst and reaction mechanism, which may provide a certain theoretical basis for the design and development of high‐performance catalysts and referable experience for the further exploration and utilization of H2O effects on related fields as well.