High‐entropy materials (HEMs) have been in the spotlight as emerging catalysts for electrochemical water splitting. In particular, HEM catalysts feature multi‐element active sites and unsaturated coordination as well as entropy stabilization in comparison with their single‐element counterparts. Herein, a comprehensive overview of HEM catalysts used in electrochemical water splitting is provided, covering both the hydrogen evolution reaction (HER) and oxygen evolution reaction (OER). Particularly, the review begins with discussions of the concept and structure of HEMs. In addition, effective strategies for rationally designing HEMs on the basis of computational techniques and experimental aspects is described. Importantly, the importance of computationally aided methods, that is, density functional theory calculations, high‐throughput screening, and machine learning, to the discovery and design of HEMs, is described. Furthermore, the applications of HEMs in the field of water electrolysis are reviewed. Eventually, an outlook regarding the prospects and future opportunities for HEMs is provided.