Transition metal phosphides (TMPs) have been recognized as promising electrocatalysts for water splitting due to their high electronic conductivity, tunable structure and composition, and multifunctional active sites. Combining TMPs with other materials such as metals and compounds to form heterostructures can significantly enhance electrocatalytic performance. This review summarizes recent advances in TMP-based heterostructures for electrocatalytic water splitting. The design of electrocatalyst structures and compositions, along with their corresponding electrochemical activities, is discussed. Emphasis is placed on interfacial engineering and the synergistic effects between heterocomponents to elucidate the relationship between interfacial characteristics and catalytic performance. Finally, current challenges and future research directions for TMP-based heterostructure electrocatalysts in water splitting are proposed.