Hydrogen fuel is considered as the cleanest renewable resource and the primary alternative to fossil fuels for future energy supply. Sustainable hydrogen generation is the major prerequisite to realize future hydrogen economy. The electrocatalytic hydrogen evolution reaction (HER), as the vital step of water electrolysis to H2 production, has been the subject of extensive study over the past decades. In this comprehensive review, we first summarize the fundamentals of HER and review the recent state-of-the-art advances in the low-cost and high-performance catalysts based on noble and non-noble metals, as well as metal-free HER electrocatalysts. We systemically discuss the insights into the relationship among the catalytic activity, morphology, structure, composition, and synthetic method. Strategies for developing an effective catalyst, including increasing the intrinsic activity of active sites and/or increasing the number of active sites, are summarized and highlighted. Finally, the challenges, perspectives, and research directions of HER electrocatalysis are featured.