In recent years, the development of high-performance electrocatalysts for energy conversion and environmental remediation has become a topic of great interest. Covalent organic frameworks (COFs), linked by covalent bonds, have emerged as promising materials in the field of electrocatalysis due to their well-defined structures, high specific surface areas, tunable pore structures, and excellent acid–base stability. However, the low conductivity of COF materials often limits their intrinsic electrocatalytic activity. To enhance the catalytic performance of COF-based catalysts, various nanomaterials are integrated into COFs to form composite catalysts. The stable and tunable porous structure of COFs provides an ideal platform for these nanomaterials, leading to improved electrocatalytic activity. Through rational design, COF-based composite electrocatalysts can achieve synergistic effects between nanomaterials and the COF carrier, enabling efficient targeted electrocatalysis. This review summarizes the applications of nanomaterial-incorporated COF-based catalysts in hydrogen evolution, oxygen evolution, oxygen reduction, carbon dioxide reduction, and nitrogen reduction. Additionally, it outlines design principles for COF-based composite electrocatalysis, focusing on structure–activity relationships and synergistic effects in COF composite nanomaterial electrocatalysts, as well as challenges and future perspectives for next-generation composite electrocatalysts.