Polyelectrolyte membrane fuel cell (PEMFC) is a kind of clean energy conversion device with great potential. The development of related hydrogen-oxygen fuel cell catalysts is still one of the key issues. Single atoms have high surface areas but weak metal synergies. Nanoparticles have good metal synergies but a large surface area. Cluster materials are in between, but as the research moves from single atoms to nanoclusters, the relationship between structure and reaction properties becomes complex. Focusing on fuel cells' hydrogen oxidation and oxygen reduction reactions, this review introduces the supported catalysts of hydrogen-oxygen fuel cell from synthesis, structural activity relationship, evolution of structural properties, mechanism and synergistic strategy. The main catalyst types are mainly concentrated in zero-dimensional materials (single atoms, clusters, nanoparticles), co-catalyst/support materials mainly non-metallic base alloys (C/Si/N/P, etc.) and metal oxides. By introducing some robust interaction strategies, the importance of support materials for synergistic enhancement of the overall performance of catalysts is emphasized, and the importance of advanced in situ characterization techniques for structure-property and mechanism studies is introduced. Finally, the challenge and prospect for developing the fuel cell electrocatalysts were concluded for commercial applications.