The cost effective generation of hydrogen with sunlight via water photoelectrolysis is the critical breakthrough needed to transition the world to a renewable energy based hydrogen economy. A semiconductor based photoelectrolysis system may have cost advantages over using either a photovoltaic cell coupled to an electrolyzer or solar thermochemical cycles for water splitting. Unfortunately there is no known semiconducting material or combination of materials with the electronic properties and stability needed to efficiently photoelectrolyze water. Semiconducting oxides can have the required stability but present theoretical methods are insufficient to a priori identify materials with the required properties. Most likely, the discovered material will be a complex oxide containing many elements whereby each contributes to the required material properties such as light absorption across the solar spectrum, stability and electrocatalytic activity. The large number of possible multicomponent metal oxides, even if only ternary or quaternary materials are considered, points to the use of high-throughput combinatorial methods to discover and optimize candidate materials. In this critical review, we will cover some techniques for the combinatorial production and screening of metal oxides for their ability to efficiently split water with sunlight (88 references).