The rational design of photoanode materials is pivotal for advancing photoelectrochemical (PEC) water splitting toward sustainable hydrogen production. This review highlights recent progress in the machine learning (ML)-assisted development of nanostructured metal oxide photoanodes, focusing on bridging materials discovery and device-level performance optimization. We first delineate the fundamental physicochemical criteria for efficient photoanodes, including suitable band alignment, visible-light absorption, charge carrier mobility, and electrochemical stability. Conventional strategies such as nanostructuring, elemental doping, and surface/interface engineering are critically evaluated. We then discuss the integration of ML techniques-ranging from high-throughput density functional theory (DFT)-based screening to experimental data-driven modeling-for accelerating the identification of promising oxides (e.g., BiVO, FeO, WO) and optimizing key parameters such as dopant selection, morphology, and catalyst interfaces. Particular attention is given to surrogate modeling, Bayesian optimization, convolutional neural networks, and explainable AI approaches that enable closed-loop synthesis-experiment-ML frameworks. ML-assisted performance prediction and tandem device design are also addressed. Finally, current challenges in data standardization, model generalizability, and experimental validation are outlined, and future perspectives are proposed for integrating ML with automated platforms and physics-informed modeling to facilitate scalable PEC material development for clean energy applications.