Electrochemical water splitting has long been considered an effective energy conversion technology for transferring intermittent renewable electricity into hydrogen fuel, and the exploration of cost-effective and high-performance electrocatalysts is crucial in making electrolyzed water technology commercially viable. Cobalt phosphide (Co-P) has emerged as a catalyst of high potential owing to its high catalytic activity and durability in water splitting. This paper systematically reviews the latest advances in the development of Co-P-based materials for use in water splitting. The essential effects of P in enhancing the catalytic performance of the hydrogen evolution reaction and oxygen evolution reaction are first outlined. Then, versatile synthesis techniques for Co-P electrocatalysts are summarized, followed by advanced strategies to enhance the electrocatalytic performance of Co-P materials, including heteroatom doping, composite construction, integration with well-conductive substrates, and structure control from the viewpoint of experiment. Along with these optimization strategies, the understanding of the inherent mechanism of enhanced catalytic performance is also discussed. Finally, some existing challenges in the development of highly active and stable Co-P-based materials are clarified, and prospective directions for prompting the wide commercialization of water electrolysis technology are proposed.