Benefiting from the excellent structural tunability, robust framework, ultrahigh porosity, and rich active sites, covalent organic frameworks (COFs) are widely recognized as promising photocatalysts in chemical conversions, and emerged in the hydrogen peroxide (H2O2) photosynthesis from 2020. H2O2, serving as an environmental‐friendly oxidant and a promising liquid fuel, has attracted increasing researchers to explore its potential. Over the past few years, numerous COFs‐based photocatalysts are developed with encouraging achievements in H2O2 production, whereas no comprehensive review articles exist to summarize this specific and significant area. Herein we provide a systematic overview of the advances and challenges of COFs in photocatalytic H2O2 production. We first introduce the priorities of COFs in H2O2 photosynthesis. Then, various strategies to improve COFs photocatalytic efficiency are discussed. The perspective and outlook for future advances of COFs in this emerging field are finally offered. This timely review will pave the way for the development of highly efficient COFs photocatalysts for practical production of value‐added chemical not limited to H2O2.