The key to achieving the breakthrough of hydrogen energy from marginal energy sources in large scale applications lies in the development and design of efficient electrocatalysts for the electrochemical oxidation and reduction of water. The unique heterostructure endows the catalyst with a mass of functional interfaces that are decisive for the enhancement of catalyst activity, stability, and reaction kinetics. Although some cutting-edge reviews have focused on the synthesis strategies, constitution, and applications of heterostructure catalysts, the field still lacks a detailed discussion of the actual reaction processes occurring at the interface, which is detrimental to the understanding of the true catalytic mechanism. Relying on advanced in situ/operando characterization techniques to understand the working mechanism of heterostructure catalysts is essential for rational design of advanced catalysts. In this review, we first present the advantages of heterostructure catalysts applied to electrolyzing water. Subsequently, the application of in situ/operando techniques in probing three aspects of heterostructure catalyst surface reconstruction, reaction mechanism, and the role of each component is highlighted with classical case studies. Finally, the current challenges and prospects for the design of heterostructure electrocatalysts are discussed in detail.