Interface modulation, as an old concept of heterogeneous catalysis, represents an emerging, fast‐growing and exciting direction in the field of water electrolysis. Over the past five years, diverse hetero‐nanostructures have been synthesised as water electrolysis catalysts by taking advantage of interface modulation. However, it seems that the performance (i.e., efficiency and durability) of these materials needs to be further improved. Therefore, a comprehensive summary of recent achievements and the challenging issues concerning the regulation of material functionalities through interface modulation is necessary and helpful. Herein, firstly, the fundamentals of water electrolysis are outlined, and then the delicate design and fine control of well‐defined interfaces, as well as related mechanisms for performance improvement are discussed. Finally, future opportunities and challenges in the everlasting pursuit of highly efficient and robust water electrolysis catalysts are highlighted.