Hydrogen peroxide (H₂O₂) is a green oxidant that has been widely used. The direct synthesis of hydrogen peroxide (DSHP) offers significant advantages in terms of high atomic economy and environmentally friendly effects. However, due to the inevitable side reactions and severe mass transfer limitations, it is still challenging to balance the selectivity and activity for the DSHP. Combining theoretical understanding with the controllable synthesis of nanocatalysts may significantly facilitate the design of “dream catalysts” for the DSHP. In this work, the main factors affecting the reaction performance of catalysts and the active sites of catalysts have been reviewed and discussed in detail. The development and design of catalysts with high efficiency were introduced from three aspects: the catalyst support, active component and atomic impurity. In addition, the coupling of DSHP and other oxidation reactions to realize one-pot in situ oxidation reactions was comprehensively emphasized, which showed essential guiding significance for the future development of H₂O₂.