Developing efficient and inexpensive electrocatalysts for the hydrogen evolution reaction (HER) is critical to the commercial viability of electrochemical clean energy technologies. Transition metal phosphides (TMPs), with the merits of abundant reserves, unique structure, tunable composition, and high electronic conductivity, are recognized as attractive HER catalytic materials. Nevertheless, the HER electrocatalytic activity of TMPs is still limited by various thorough issues and inherent performance bottlenecks. In this review, these issues are carefully sorted, and the corresponding reasonable explanations and solutions are elucidated on the basis of the HER catalytic activity origins of TMPs. Subsequently, highly targeted multiscale strategies to improve the HER performance of TMPs are comprehensively presented. Additionally, critical scientific issues for constructing high‐efficiency TMP‐based electrocatalysts are proposed. Finally, the HER reaction process, catalytic mechanism research, TMP‐based catalyst construction, and their application expansion are mentioned as challenges and future directions for this research field. Expectedly, this review offers professional and targeted guidelines for the rational design and practical application of TMP‐based HER catalysts.