Photoelectrochemical cells (PECs) are an important technology for converting solar energy, which has experienced rapid development in recent decades. Transparent conductive oxides (TCOs) are also gaining increasing attention due to their crucial role in PEC reactions. This review comprehensively delves into the significance of TCO materials in PEC devices. Starting from an in-depth analysis of various TCO materials, this review discusses the properties, fabrication techniques, and challenges associated with these TCO materials. Next, we highlight several cost-effective, simple, and environmentally friendly methods, such as element doping, plasma treatment, hot isostatic pressing, and carbon nanotube modification, to enhance the transparency and conductivity of TCO materials. Despite significant progress in the development of TCO materials for PEC applications, we at last point out that the future research should focus on enhancing transparency and conductivity, formulating advanced theories to understand structure–property relationships, and integrating multiple modification strategies to further improve the performance of TCO materials in PEC devices.