Composite metal oxide semiconductors are promising candidates for photoelectrochemical water splitting (PEC WS) toward environmentally friendly hydrogen production. Among them, ZnO and α-Fe₂O₃ hold great potential thanks to a series of benefits, including fast charge transport in single-crystalline structures, large surface area and tunable shapes (ZnO), and energy bandgap falling in the visible spectral range (α-Fe₂O₃). However, both materials present significant drawbacks, which hinder their successful application in high-efficiency PEC WS: the wide bandgap of ZnO limits its absorption in the UV range, while the low charge carrier mobility results in heavy recombination losses in α-Fe₂O₃ during charge collection. The synthesis of ZnO/hematite composites has recently proven to be an effective approach to improve the overall WS performances. In this review, the recent developments on the application of different morphologies (0D, 1D, 2D, and 3D structures) for PEC WS are illustrated, analyzing the role of the shape and morphology in boosting the functional properties, both in single systems and in composite nanostructures. Complex networks show higher photocatalytic efficiency than the single building blocks and, consequently, composite materials exhibit higher performances. Possible paths for the development of an effective lab-to-fab transition based on application of ZnO/α-Fe₂O₃ composite structures are also suggested.