Photoelectrochemical (PEC) water splitting into hydrogen and oxygen is a promising solution for the conversion and storage of solar energy. Because sluggish water oxidation is the bottleneck of water splitting, the design and preparation of an efficient photoanode is intensively investigated. Currently, all known photoanode materials suffer from at least one of the following drawbacks: ① low carriers separation efficiency; ② sluggish surface water oxidation reaction; ③ poor long‐term stability; ④ insufficient water adsorption and gas desorption. Core–shell configurations can endow a photoanode with improved activity and stability by coating an overlayer that plays energetic, catalytic, and/or protective roles. The construction strategy has an important effect on the activity of a core–shell photoanode. Nonetheless, the mechanism for the improvement of performance is still ambiguous and is worthy of a closer examination. In this review, the successes and challenges of core–shell photoanodes for water oxidation, focusing on synthesis strategies as well as functionalities (facilitating carrier separation, surface reaction promotion, corrosion prevention, and bubble detachment) are explored. Finally, the perspectives of this class of materials in terms of new opportunities and efforts are discussed.