Scanning electrochemical probe microscopy (SEPM) techniques can disclose the local electrochemical reactivity of interfaces in single-entity and sub-entity studies. Operando SEPM measurements consist of using a SEPM tip to investigate the performance of electrocatalysts, while the reactivity of the interface is simultaneously modulated. This powerful combination can correlate electrochemical activity with changes in surface properties, e.g., topography and structure, as well as provide insight into reaction mechanisms. The focus of this review is to reveal the recent progress in local SEPM measurements of the catalytic activity of a surface toward the reduction and evolution of O2 and H2 and electrochemical conversion of CO2. The capabilities of SEPMs are showcased, and the possibility of coupling other techniques to SEPMs is presented. Emphasis is given to scanning electrochemical microscopy (SECM), scanning ion conductance microscopy (SICM), electrochemical scanning tunneling microscopy (EC-STM), and scanning electrochemical cell microscopy (SECCM).