Abstract: Under the background of peak carbon dioxide emissions and achieving carbon neutrality, clean energy technologies such as water electrolysis, metal–air batteries, and fuel cells have attracted extensive attention due to the advantages of high efficiency, good safety, a simple structure, low cost, and eco-friendliness. However, the key reactions on oxygen catalytic electrodes, the oxygen reduction reaction (ORR) and oxygen evolution reaction (OER), are kinetically sluggish, which considerably hinders their commercial applications. The traditional oxygen catalytic electrodes with the use of binders have the disadvantages of a cumbersome synthesis process, low controllability, poor uniformity, high cost, and easy carrier catalyst agglomeration, which limit their catalytic performance. Recently, self-supported oxygen catalytic electrodes have attracted extensive attention due to their advantages of high catalytic active sites and a stabilized spatial framework, which can solve the problems faced by traditional oxygen catalytic electrodes and further improve the catalytic performance of the electrode. As the catalyst material carrier, the substrate materials play an important role in the catalytic performance of self-supporting oxygen electrodes. The high interaction forces between the substrate and the catalyst material lead to a single-direction growth orientation and uniform dispersion. Reportedly, the substrate materials for self-supporting oxygen catalytic electrodes have not been fully discussed in comprehensive reviews. Therefore, timely updates in this potential field must be provided. This paper summarizes the research progress and synthesis methods of commonly self-supporting oxygen catalytic electrodes based on different substrate materials, including two- and three-dimensional metal materials and carbon materials. In addition, this paper introduces the outstanding ORR/OER catalytic properties of common self-supporting oxygen catalytic electrodes, which are not only due to the intrinsic catalytic activity of the supported catalytic active materials but also related to the high specific surface area and high electron transfer rate caused by the structure of the self-supported electrode substrate. Finally, the future research and the development trend of self-supporting oxygen catalytic electrodes are addressed from the four aspects of density general function theory, improving electrode energy density, constructing an efficient gas–liquid–solid three-phase interface of an electrode, and establishing a standard evaluation protocol of self-supported oxygen catalytic electrodes. This review should provide new research insights for developing renewable energy storage and conversion systems.