Electrocatalytic water splitting has great research prospects in the production of green hydrogen energy, and electrocatalysts are the prerequisite. As widely employed efficient electrocatalysts, hollow nanostructures have attracted a lot of research attention due to their excellent catalytic activity and structural stability. Moreover, the abundant catalytically active sites and tunable morphology also make hollow nanomaterials promising electrocatalysts for water splitting. Despite these advantages, the industrial applications of these hollow nanocatalysts are impeded by limitations like the lack of effective synthesis methods and unclear formation mechanisms. Therefore, extensive efforts have been devoted to the development of efficient synthesis strategies to boost the development of more efficient hollow electrocatalysts, and great progress has been achieved in recent years. To gain a better understanding of the rapid development of hollow nanocatalysts for water splitting, we herein organize a review to summarize the recent synthetic methods and advantages of hollow materials with different dimensions. The specific advantages of hollow nanomaterials in electrocatalytic water splitting, such as abundant active sites, a stable structure, high mass transfer efficiency, and reduced aggregation of catalytic particles, are also summarized. Finally, the challenges and prospects of hollow nanostructures with multiple dimensions in electrocatalytic water splitting are further explored.