As a sustainable and clean energy source, hydrogen can be generated by electrolytic water splitting (i.e., a hydrogen evolution reaction, HER). Compared with conventional noble metal catalysts (e.g., Pt), Mo based materials have been deemed as a promising alternative, with a relatively low cost and comparable catalytic performances. In this review, we demonstrate a comprehensive summary of various Mo based materials, such as MoO2, MoS2 and Mo2C. Moreover, state of the art designs of the catalyst structures are presented, to improve the activity and stability for hydrogen evolution, including Mo based carbon composites, heteroatom doping and heterostructure construction. The structure–performance relationships relating to the number of active sites, electron/ion conductivity, H/H2O binding and activation energy, as well as hydrophilicity, are discussed in depth. Finally, conclusive remarks and future works are proposed.