Hydrogen (H2) energy is presumed to be the most promising alternative to replacing traditional fossil fuels to achieve the global mission of carbon neutrality. Electrocatalytic water splitting driven by green electricity has been regarded as an ideal method for large‐scale green hydrogen production with a minimal CO2 footprint. However, most of the reported electrocatalysts still suffer from large overpotentials and severe activity degradation at high current density (>1000 mA cm−2). Therefore, a comprehensive review to summarize the representative alkaline hydrogen evolution reaction (HER) electrocatalysts with large current densities is essential to guide the fabrication of promising industrial electrocatalysts. In this review, starting from the fundamental of water electrolysis, the design principles to acquire alkaline electrocatalysts with large current density and high stability are elaborated. The critical factors for achieving high‐performance electrocatalysts to meet industrial H2 production are proposed. Additionally, the key processes for preparing self‐supported electrodes are clarified. Afterward, the recently advanced self‐supported transition metal‐based electrocatalysts with high current density for alkaline HER are systematically summarized. Finally, personal perspective on future opportunities and challenges is highlighted. It is hoped this review can guide the rational design of self‐supported high‐current density electrocatalysts for future commercial H2 production.