Electrochemical water splitting plays a vital role in facilitating the transition towards a sustainable energy future by enabling renewable hydrogen (H2) production, energy storage, and emission‐free transportation. Developing earth‐abundant electrocatalysts with outstanding overall water‐splitting performance, excellent catalytic activity, and robust long‐term stability is highly important in the practical application of water electrolysis. Self‐supported electrocatalysts have emerged as the most appealing candidate for practical H2 production due to their increased active site loading, rapid mass and charge transfer, and strong interaction with the underneath conducting support. Additionally, these electrocatalysts also provide enhanced reaction kinetics and stability. Here, a comprehensive review of recent progress in developing self‐supported Fe‐based electrocatalysts for water splitting and selective oxidation reactions is presented with examples of oxyhydroxides, layered double hydroxides, oxides, chalcogenides, phosphides, nitrides, and other Fe‐containing electrocatalysts. A comprehensive historical development in the synthesis of self‐supported Fe‐based electrocatalysts is provided, with an emphasis on the various deposition methods and the choice of self‐supported conducting substrates considering large‐scale commercial applications. An overview of mechanistic understanding and approaches for enhanced H2 production are also presented. Finally, the challenges and opportunities associated with developing Fe‐based electrocatalysts for practical applications in water splitting and alternative oxidation reactions are discussed.