Hydrogen is a promising clean energy carrier and plays a significant role in establishing sustainable energy delivery and consumption systems. Electrochemical water splitting has shown attractive potential with regard to hydrogen production, and countless efforts have been devoted to developing advanced electrocatalysts for water splitting in recent years. Specifically, the development of robust electrocatalysts for the water oxidation reaction, namely the oxygen evolution reaction (OER), is more challenging due to the four-electron transfer process and high working potentials in corrosive environments. Recently, a variety of heterostructured electrocatalysts have exhibited intriguing performance toward water oxidation due to their unique structural merits including the confinement effect, electronic interaction, strain effect, interfacial bonding effect, and synergistic effect. In this review, the recent advances in heterostructured electrocatalysts for the OER are highlighted, and the underlying theories are summarized. Notably, we place a strong focus on heterostructures as a whole rather than reviewing individual building blocks separately, aiming to emphasize the superiorities of heterostructured electrocatalysts and discuss the relevant structure-function relationship. Also, the general design principles for constructing efficient heterostructured electrocatalysts toward water oxidation are summarized. This review provides new insights into understanding the interface chemistry in heterostructured OER electrocatalysts, and will provide a variety of new possibilities for the design and development of advanced OER electrocatalysts and beyond.