The development of efficient electrocatalysts for alkaline hydrogen oxidation reaction (HOR) is crucial to realize the commercialized application of alkaline exchange membrane fuel cells. Platinum group metals (PGMs) have been extensively used as alkaline HOR catalysts because they exhibit high activity and stability. Currently, searching for methods to improve the catalytic activity and reduce the loading of PGMs is the main research interest of PGM‐based electrocatalysts. The alloying method has been regarded as an effective strategy. In this review, we summarized various kinds of PGM‐based alloys, including traditional random alloys, single‐atom alloys, high‐entropy alloys and intermetallic compounds, and highlighted the challenges and future directions regarding the development of advanced PGM‐based alloys.