Metal oxide materials show promise for application in photoelectrocatalytic conversion due to their inherent advantages involving positive reactive surface, improved light absorption capability, efficient charge separation yield, and fast charge transport channels. The unique electrical and optical properties of metal oxide based photoelectrodes have a great effect on their performance in solar cells, photoelectrocatalysis, and photocatalysis. It has been reported that the presence of defects on grain boundaries, oxygen vacancy, doping strategy, and heterojunction play a vital role in both the efficiency and durability of their photoelectric application. However, the intrinsic mechanisms at the atomic level remained unclear, which require more in‐depth understanding in terms of theoretical analysis. In this Review, we emphatically introduce the recent advances and current challenges of metal oxide‐based photoelectrodes for photoelectrocatalytic application, beneath the structure‐activity relationship of metal oxide catalysts. Then, we give a summary of the state‐of‐the‐art research in the preparation and application for the metal oxide based composite materials. Finally, we discuss key aspects, which should be addressed for design and construction.