Rational engineering of photoelectrode materials that are highly efficient, stable, and simple in fabrication is of importance for developing a viable photoelectrochemical (PEC) water splitting device. The recent years have seen the surge in the development of multinary semiconductor materials for promising solar hydrogen generation, owing, in part, to the limitations of binary oxides, namely, TiO2, WO3, and Fe2O3. With three or more different atomic constituents the number of material candidates far exceeds that of binary oxides, thereby increasing the opportunity to find candidates with suitable band structures, stabilities, and carrier lifetimes, which promises a higher solar to hydrogen conversion efficiency. However, further engineering of these promising semiconductors is imperative to overcome their remaining limitations for viable PEC water splitting. In this review, we survey the most recent developments in the engineering of multinary semiconductors for improved PEC performance, in which we mainly discuss the progress on semiconductor-liquid junctions rather than photovoltaic-electrolysis. We first present their fundamental advances and disturbing aspects for PEC applications of the representative promising multinary semiconductors including metal oxides, metal oxynitrides, copper chalcogenides, phosphides and nitrides. Then we analyze five common engineering protocols that have been effectively adopted for the improved PEC performance, including nanostructuring, doping, surface modification, heterostructuring, and photonic management. The progress on assembling them in PEC tandem devices is also discussed. We present finally an outlook on the future efforts as well as the challenges that have to be tackled in the way of pursuing viable PEC multinary semiconductors.