Abstract: Single-atom catalysts (SACs) have unique advantages in the catalytic electrolysis of water owing to their high atomic utilization rate, clear active centers, high specific activity, and excellent stability. Notably, metal–support interactions in the materials have significant influences on the catalytic process. However, the interaction mechanisms between supports and metal active sites, as well as the influences of supports on the intrinsic activity of real active sites, have not been fully explained by previous studies. SACs have clear coordination structures with supports, which can accurately adjust the metal–support binding modes, thereby thoroughly tailoring the electronic and magnetic structures of the electrocatalysts. This will essentially solve the issues faced by electrolytic water (hydrogen evolution reaction (HER), oxygen evolution reaction (OER), and overall water splitting) catalysts. Given the unique features of metal oxides, such as surface acidity, alkalinity, and redox properties, metal oxides are regarded as one of the most popular and promising types of supports. The objective of this review is to present a detailed analysis of the support effects of oxide-supported single-atom water electrolysis catalysts. In this article, first, we identified the characteristics of SACs and their unique advantages by examining the electronic structure and structure–activity relationship in electrocatalysis. Subsequently, we summarized the three critical roles of supports in determining the coordination structure of catalytic metal centers and their catalytic performance. (1) As a carrier or substrate to disperse and stabilize the active species, the mechanical strength of the catalyst is increased, and the dissolution and aggregation of single atoms are inhibited. (2) Adjusting the coordination or atomic structure through electronic and spatial effects activates the catalytic reaction centers and improves reactant adsorption. (3) The atoms in the support near the center of a single atom are also activated and directly participate in chemical reactions. Moreover, the methods through which metal oxides support the single atoms are reviewed and can be categorized into four types: (1) by loading single atoms through surface defects; (2) by stabilizing single atoms through interactions produced between metals and surface groups and ligands; (3) by confining single atoms owing to spatial limitations of porous nanostructures; and (4) by substituting single atoms within their crystal lattices. The clarification of interactions offers a more theoretical and practical reference for accurately controlling the electronic structure of metal–support interfaces on the atomic and molecular scales. Moreover, the differences in coordination and binding of single atoms on different supports were also analyzed by providing examples. Thus, it can be safely concluded that the changes in electronic structures through strong bonding or electronic interactions between supports and active centers can optimize the chemical adsorption of reactant molecules or intermediates and accelerate water dissociation, finally realizing improved performance toward HER, OER, and overall water splitting reactions. Finally, the opportunities and challenges, key issues, and possible solutions for adjusting the performance of catalysts through interactions between supports and single atoms were prospected.