With the ever-pressing issues of global energy demand and environmental pollution, molecular hydrogen has been receiving increasing attention as a clean alternative energy carrier. For hydrogen production, the design and development of high-performance catalysts remains rather challenging. As the compositions and structures of catalyst interfaces have paramount influences on the catalytic performances, the central topic here has always been to design and engineer the interface structures via rational routes so as to boost the activities and stabilities of electrocatalysts on hydrogen evolution reaction (HER). Here in this review, we focus on the design and preparation of multi-scale catalysts specifically catering to HER applications. We start from the design and structure-activity relationship of catalytic nanostructures, summarize the research progresses related to HER nanocatalysts, and interpret their high activities from the atomistic perspective; then, we review the studies regarding the design, preparation, HER applications and structure-activity relationship of single-atom site catalysts (SASCs), and thereupon discuss the future directions in designing HER-oriented SASCs. At the end of this review, we present an outlook on the development trends and faced challenges of catalysts for electrochemical HER.