Electrocatalytic water splitting, as a sustainable, pollution-free and convenient method of hydrogen production, has attracted the attention of researchers. However, due to the high reaction barrier and slow four-electron transfer process, it is necessary to develop and design efficient electrocatalysts to promote electron transfer and improve reaction kinetics. Tungsten oxide-based nanomaterials have received extensive attention due to their great potential in energy-related and environmental catalysis. To maximize the catalytic efficiency of catalysts in practical applications, it is essential to further understand the structure–property relationship of tungsten oxide-based nanomaterials by controlling the surface/interface structure. In this review, recent methods to enhance the catalytic activities of tungsten oxide-based nanomaterials are reviewed, which are classified into four strategies: morphology regulation, phase control, defect engineering, and heterostructure construction. The structure–property relationship of tungsten oxide-based nanomaterials affected by various strategies is discussed with examples. Finally, the development prospects and challenges in tungsten oxide-based nanomaterials are discussed in the conclusion. We believe that this review provides guidance for researchers to develop more promising electrocatalysts for water splitting.