Hydrogen peroxide (H2O2) is a clean and mild oxidant that is receiving increasing attention. The photocatalytic H2O2 production process utilizes solar energy as an energy source and H2O and O2 as material sources, making it a safe and sustainable process. However, the high recombination rate of photogenerated carriers and the low utilization of visible light limit the photocatalytic production of H2O2. S-scheme heterojunctions can significantly reduce the recombination rate of photogenerated electron–hole pairs and retain a high reduction and oxidation capacity due to the presence of an internal electric field. Therefore, it is necessary to develop S-scheme heterojunction photocatalysts with simple preparation methods and high performance. After a brief introduction of the basic principles and advantages of photocatalytic H2O2 production and S-scheme heterojunctions, this review focuses on the design and application of S-scheme heterojunction photocatalysts in photocatalytic H2O2 production. This paper concludes with a challenge and prospect of the application of S-scheme heterojunction photocatalysts in photocatalytic H2O2 production.