Photoelectrocatalysis (PEC) is extensively applied in diverse redox reactions. However, the traditional oxygen evolution reaction (OER) occurring at the (photo)anode is hindered by high thermodynamic demands and sluggish kinetics, resulting in excessive energy consumption and limited economic value of the O2 produced, thereby impeding the practical application of PEC reactions. To overcome these limitations, advanced anodic-cathodic coupling systems, as an emerging energy conversion technology, have garnered significant research interest. These systems substitute OER with lower potential, valuable oxidation reactions, significantly enhancing energy conversion efficiency, yielding high-value chemicals, while reducing energy consumption and environmental pollution. More importantly, by designing and optimizing photoelectrodes to generate sufficient photovoltage under illumination, meeting the thermodynamic and kinetic potential requirements of the reactions, and by tuning the voltage to match the current densities of the cathode and anode, coupling reactions can be achieved under bias-free conditions. In this review, we provide an overview of the mechanisms of PEC coupling reactions and summarize photoelectrode catalysts along with their synthesis methods. We further explore advanced catalyst modification strategies and highlight the latest development in advanced PEC coupling systems, including photocathodic CO2 reduction, nitrate reduction, oxygen reduction, enzyme activation, coupled with photoanodic organic oxidation, biomass oxidation, and pollutant degradation. Additionally, advanced in situ characterization techniques for elucidating reaction mechanisms are discussed. Finally, we propose the challenges in catalyst design, reaction systems, and large-scale applications, while offering future perspectives for PEC coupling system. This work underscores the tremendous potential of PEC coupling systems in energy conversion and environmental remediation, and provides valuable insights for the future design of such coupling systems.