Rapid industrialization throughout the 20th and 21st centuries has led to the excessive consumption of fossil fuels to satisfy global energy demands. The dominant use of these fuel sources is the main cause of the ever-increasing environmental issues that greatly threaten humanity. Therefore, the development of renewable energy sources is fundamental to solving environmental issues. Solar energy has received widespread attention over the past decades as a green and sustainable energy source. Solar radiation-induced photocatalytic processes on the surface of semiconductor materials are able to convert solar energy into other energy sources for storage and further applications. However, the preparation of highly efficient and stable photocatalysts remains challenging. Recently, a new step-scheme (S-scheme) carrier migration mechanism was reported that solves the drawbacks of carrier migration in conventional heterojunction photocatalysts. The S-scheme heterojunction not only effectively solves the carrier migration problem and achieves fast separation but also preserves the powerful redox abilities and improves the catalytic performance of the photocatalytic system. To date, various S-scheme heterojunctions have been developed and employed to convert solar energy into useful chemical fuels to decrease the reliance on fossil fuels. Furthermore, these systems can also be used to degrade pollutants and reduce the harmful impact on the environment associated with the consumption of fossil fuels, including H2 evolution, pollutant degradation, and the reduction of CO2. H2O2 has been used as an effective, multipurpose, and green oxidizing agent in many applications including pollutant purification, medical disinfection, and chemical synthesis. It has also been used as a high-density energy carrier for fuel cells, with only water and oxygen produced as by-products. Photocatalytic technology provides a low-cost, environmentally friendly, and safe way to produce H2O2, requiring only solar energy, H2O, and O2 gas as raw materials. This paper reviews new S-scheme heterojunction designs for photocatalytic H2O2 production, including g-C3N4-, sulfide-, TiO2-, and ZnO-based S-scheme heterojunctions. The main principles of photocatalytic H2O2 production and the formation mechanism of the S-scheme heterojunction are also discussed. In addition, effective advanced characterization methods for S-scheme heterojunctions have been analyzed. Finally, the challenges that need to be addressed and the direction of future research are identified to provide new methods for the development of high-performance photocatalysts for H2O2 production.