Why protons combined with electrons will release heat? During water electrolysis, the electrochemical reaction on the cathode side can be expressed as protons combined with electrons to form hydrogen. I believe this electrochemical reaction is a heat release process, but I don't know the reason.

Why protons combined with electrons will release heat?

It will be better if you could provide some references.
If the process of uniting protons and electrons is assumed to occur isothermically in a vessel of constant volume, then the heat released will be equal to the change in internal energy of the system: 

$$q_v=(\Delta U)_v$$ 

Now if the mixture were to behave as an ideal gas, the change in internal energy would be zero and therefore so would the heat. But we can expect a mixture of oppositely charged species such as protons and electrons to behave as an extremely non-ideal mixture, consistently with the large Coulombic potential between the particles. Since $\Delta U$ for the process of uniting protons and electrons (and thereby also minimizing repulsions) is negative, the process is then expected to be exothermic ($q&lt;0$).