Electrochemical water splitting is regarded as the most attractive technique to store renewable electricity in the form of hydrogen fuel. However, the corresponding anodic oxygen evolution reaction (OER) and cathodic hydrogen evolution reaction (HER) remain challenging, which exhibit complex reactions and sluggish kinetic behaviors at the triple-phase interface. Material surface and interface engineering provide a feasible approach to improve catalytic activity. Besides, self-supported electrocatalysts have been proven to be highly efficient toward water splitting, because of the regulated catalyst/substrate interface. In this Review, the state-of-the-art achievements in self-supported electrocatalyst for HER/OER have demonstrated the feasibility of surface and interface engineering strategies to boost performance. The six key effective surface/interface engineering approaches for rational catalysts design are systematically reviewed, including defect engineering, morphology engineering, crystallographic tailoring, heterostructure design, catalyst/substrate interface engineering, and catalyst/electrolyte interface regulation. Finally, the challenges and opportunities on the valuable directions are proposed to inspire future investigation of highly active and durable HER/OER electrocatalysts.