As an eco-friendly, efficient, and low-cost technique, photoelectrochemical water splitting has attracted growing interest in the production of clean and sustainable hydrogen by the conversion of abundant solar energy. In the photoelectrochemical system, the photoelectrode plays a vital role in absorbing the energy of sunlight to trigger the water splitting process and the overall efficiency depends largely on the integration and design of photoelectrochemical devices. In recent years, the optimization of photoelectrodes and photoelectrochemical devices to achieve highly efficient hydrogen production has been extensively investigated. In this paper, a concise review of recent advances in the modification of nanostructured photoelectrodes and the design of photoelectrochemical devices is presented. Meanwhile, the general principles of structural and morphological factors in altering the photoelectrochemical performance of photoelectrodes are discussed. Furthermore, the performance indicators and first principles to describe the behaviors of charge carriers are analyzed, which will be of profound guiding significance to increasing the overall efficiency of the photoelectrochemical water splitting system. Finally, current challenges and prospects for an in-depth understanding of reaction mechanisms using advanced characterization technologies and potential strategies for developing novel photoelectrodes and advanced photoelectrochemical water splitting devices are demonstrated.