Electrochemical water splitting is an eco‐friendly and sustainable energy conversion technology, while its large‐scale application is limited by the lack of efficient electrocatalysts. Notably, anion vacancy engineering, with functions of enhancing intrinsic activity, providing/increasing active sites, improving electrical conductivity, and strengthening stability, has been widely applied to boost the activity of electrocatalysts. In this review, we focus on anion vacancy engineering on electrocatalysts for water splitting. First, various synthesis strategies are introduced. Then the characterization techniques are classified and summarized into three catalogs: microscopy characterization, spectroscopy characterization, and theoretical studies. Lastly, the functions and challenges of anion vacancies in electrocatalysts for water splitting are briefly discussed.