Transition metal phosphides (TMPs), as non-precious metal compounds, have attracted growing interest as heterogeneous electrocatalysts for overall water splitting. They have been studied as robust catalysts for hydrogen evolution reaction (HER) at a wide pH range. In particular, Fe, Co, Ni-based phosphides also showed high performance for oxygen evolution reaction (OER) in alkaline solutions. This review focuses on the strategies developed for preparing TMPs with enhanced HER or OER performance. These strategies include tuning the stoichiometric ratio of metal and phosphorous, hetero-atom doping or alloying, forming nano-carbon/TMPs hybrids and engineering special structures by modifying surface wettability, forming hetero-structure interfaces and generating porous structures. In terms of elemental doping strategy, the reported performance of Fe, Co, Ni-based alloying phosphides as bifunctional catalysts for both HER and OER are also summarized. Finally, the challenges and perspectives for TMPs in water splitting application are briefly discussed.