The use of first-principles computational techniques, such as density functional theory (DFT), to understand electrochemical reactions is witnessing an ever increasing popularity within the physical electrochemistry community. However, applying DFT to electrochemical interfaces is still a challenging and far-from-straightforward process. In the past decade, considerable effort has been put into the development of consistent frameworks able to provide reasonable explanations for several unresolved experimental questions, especially in the field of electrocatalysis. Moreover, there exist some successful examples in which these models have been able to predict and guide experiments, leading to synthesis of catalyst materials with improved activities. Nevertheless, first-principles computational electrochemistry is still a field under development and its accuracy is limited by the size and complexity of the simulated systems. Here we will review the achievements of the free-energy approach, or “computational thermodynamics”, to modeling electrochemical processes and discuss its present and future challenges.