Nowadays, gas‐involved electrochemical reactions, such as carbon dioxide reduction reaction (CO2RR), nitrogen reduction reaction (NRR), and hydrogen evolution reaction (HER), have gradually become viable solutions to the global environmental pollution and energy crisis. However, their further development is inseparable from the in‐depth understanding of reaction mechanisms, which are incredibly complicated and cannot be satisfied by experiments alone. In this context, theoretical calculations and simulations are of great significance in establishing composition–structure–activity relationships, providing priceless mechanistic discernment and predicting prospective electrocatalysts and systems. Among them, density functional theory (DFT), molecular dynamics (MD) simulations, and finite element simulation (FES) are emerging as three mature theoretical tools. This paper presents a review of the basic principles and research progress of DFT, MD, and FES to deepen the understanding of CO2RR, NRR, and HER. Some remarkable work around theoretical calculations and simulations are highlighted, including the utilization of DFT to investigate the intrinsic properties of catalysts and MD or FES to restore the whole reaction systems from different temporal and spatial scales. Eventually, to sum up, forward‐looking insights and perspectives on the future optimizations and application modes of the three computational techniques to compensate for their shortcomings and limitations are presented.