One of the many possible ways to capture carbon dioxide (CO2) is through electrochemical means. This is an emerging approach with various merits. It is energy efficient, utilizes renewable energy, operates under ambient conditions, provides ease for control of reaction rates, and is scalable. Additionally, it can be integrated as a plug‐and‐play module at various scales, including large industrial sources or at small scale, e.g., on vehicles, and can easily combine CO2 capture, storage, and utilization into value‐added chemicals. Various “proof‐of‐concept” electrochemical CO2 capture approaches have been demonstrated in the recent past. These are made possible with electro‐active materials that capture, separate, and concentrate CO2 in the form of electrodes, electrolytes, and membranes in devices. Herein, these materials and their working mechanisms are identified and reviewed in various electrochemical CO2 capture devices where they are utilized. Also, the current challenges and future research directions with the identified electrodes, electrolytes, and membranes are summarized to give a rational understanding and guidance for selecting and designing materials for use in electrochemical CO2 capture devices.