Self‐supporting materials are widely adopted in gas‐involved electrocatalysis during the past few decades because of their unique physical/electrochemical properties, especially the stabilized spatial framework and the large electrochemical interfaces. Reportedly, there is no clear definition to define “self‐supporting” materials, and also, no such comprehensive reviews have fully discussed the self‐supporting materials in gas‐involved electrochemical applications. Therefore, it is necessary to provide timely updates in this potential field. In this review, for the first time, a reasonable definition of self‐supporting materials and comprehensively review the recent research progress of related electrodes in gas‐involved electrocatalytic applications is given. Firstly, it is discussed their synthetic methodologies, including design principles, different types of substrates‐ and substrate‐free structures. Subsequently, the recent advances of self‐supporting electrodes for gas‐involved key energy related electrocatalysis (i.e., hydrogen evolution, oxygen reduction, oxygen evolution, nitrogen reduction, and carbon dioxide reduction reactions) and their practical applications in water‐splitting, fuel cells and metal‐air batteries are mainly presented. Finally, a summary of the progress of self‐supporting electrocatalysts, the remaining challenges, and the perspectives are given to instruct their future development. It is expected that this review will provide new research insights for the future development of renewable energy storage and conversion systems.