Photoelectrocatalytic water splitting offers a promising approach to convert sunlight into sustainable hydrogen energy. A thorough understanding of the relationships between the properties and functions of photoelectrocatalytic materials plays a crucial role in the design and fabrication of efficient photoelectrochemical systems for water splitting. This review presents the advances in the development of efficient photoelectrocatalytic materials. First, the fundamentals involved in the photoelectrocatalytic water splitting are elaborated. Then, the critical properties of photoelectrocatalytic materials are classified and discussed according to the associated photoelectrochemical processes, including light absorption, charge separation, charge transportation, and photoelectrocatalytic reactions. The importance of heterointerfaces in photoelectrodes is also mentioned in conjunction with the illustration of some functional interlayer materials. Finally, some strategies that can be employed in material screening and optimization for the construction of highly efficient photoelectrochemical devices for water splitting are also discussed.