The design and synthesis of efficient transition metal-based electrocatalysts for oxygen electrocatalysis (i.e., oxygen reduction and oxygen evolution) are important for the development of high-performance fuel cells and metal–air batteries. Interface engineering of transition metal-based heterostructures via composition modulation, crystal facet tuning and heteroatom doping has received more attention in improving oxygen electrocatalytic activity. The interface in heterostructures offers great advantages for the electrocatalysis, such as optimizing chemisorption of reaction intermediates, controlling the electron/mass transportation, and preventing active components from aggregating. In this review, we summarize recent progress in the design and synthesis of transition metal-based heterostructures for the oxygen reduction and oxygen evolution. First, the mechanisms and advantages of the interface engineering on oxygen electrocatalysts are briefly introduced. Then, the recent works on the heterostructures for oxygen reduction and oxygen evolution are systematically summarized and discussed. Finally, the challenges and perspectives on future advanced development of transition metal-based heterostructures for the oxygen electrocatalysis are presented. This review may provide new insights into the design of transition metal-based heterostructures with outstanding oxygen electrocatalytic activity to realize high-performance electrochemical energy conversion.