Third-generation semiconductors have richer and better properties than traditional semiconductors, and show promising application prospects in high-power, high-temperature, high-frequency, and optoelectronic devices. Therefore, they have gained increasing interest and received extensive research attention in recent years. Electrochemical etching plays an important role in exploring the properties of third-generation semiconductors and related device fabrication. This paper systematically reviews the electrochemical etching process of silicon carbide and gallium nitride which are the typical representative of the third-generation semiconductors. Through subdividing the electrochemical etching approach into anodic oxidation etching, photoelectrochemical etching, and electroless photoelectrochemical etching, the mechanism of each electrochemical etching method is expounded, the influences of various etching parameters on the etching results are discussed, and the related applications of electrochemical etching in characterizing crystal defects, processing micro-nano structures, and fabricating microelectronic devices are summarized. Finally, future development in achieving more efficient electrochemical etching is briefly discussed. In general, this paper provides a systematic review of the electrochemical etching of third-generation semiconductors, which is helpful for researchers to supplement the content in this field, and even non-researchers in this field will be able to familiarize themselves with the relevant content quickly.