The aqueous phase hydrogen peroxide (H2O2aq) produced from the plasma–liquid interactions can directly or synergistically (with other substances) affect the liquid chemistry, and therefore it is important to unfold the H2O2aq formation mechanism. However, up to now, a consensus on the H2O2aq formation mechanism is not reached. This review aims to survey the recent advances on the understanding of the H2O2aq formation mechanism in the system of a direct current discharge plasma operated over a liquid electrode. Theoretical and experimental analyses indicate that the recombination of dissolved OH radicals (OHaq) is the dominant process for the H2O2aq formation, while the purported plasma-induced photolysis of water and the dissolution of gaseous H2O2 are ruled out.