Hydrogen (H2), derived from electrochemical water splitting, is usually believed to be a promising alternative for fossil energy due to its environmentally friendly and renewable traits. At present, IrO2 and Pt/C are regarded as the state‐of‐the‐art electrocatalysts for oxygen evolution reaction (OER) and hydrogen evolution reaction (HER), respectively, but their poor durability and high cost severely impede the wide applications. Thus, constructing highly active, stable, and low‐cost electrocatalysts for OER and HER is significantly important. Herein, the synthesis methods, construction of active sites, and catalytic coupling mechanisms for water splitting are fully summarized. In particular, the alloy effect, interface effect, various defects, and doping effects in electrocatalysts are the main reasons to improve the intrinsic catalytic activities. Finally, the future development trend of electrochemical catalysts for water splitting is prospected in the conclusion. It is believed that a comprehensive understanding of materials design strategies is provided, which is beneficial to the development of water splitting.