Hydrogen production by electrochemical water splitting is a very potential technology in hydrogen production at present. In particular, iron‐group metal compound electrocatalysts are promising materials for electrochemical water splitting due to high catalytic activity, good electrical conductivity, low cost, and environmental friendliness. However, the practical application of such catalysts was hindered for a long time due to low efficiency and poor long‐term stability. The introduction of metal/non‐metal or the preparation of heterostructures in the catalyst can enhance conductivity, accelerate charge transfer, and improve the stability of the catalyst. In this paper, we summarise recent research progress about iron‐group metal compound electrocatalysts in the hydrogen evolution reaction, oxygen evolution reaction, and overall water‐splitting, briefly discuss the remaining challenges in this field of research, and make suggestions for the preparation of future electrocatalysts.