The conversion of solar light into hydrogen by photoelectrochemical water splitting is one of the potential strategies that can allow the development of a carbon-neutral energy cycle. Oxynitride semiconductors are promising materials for this application, although important limitations must still to be addressed. One of the most important issues is physicochemical degradation of the semiconductor, at the interface with water, where the electrochemical reactions occur. In this regard, thin films, with well-defined and atomically flat surfaces, are invaluable tools for characterizing material properties and degradation mechanisms, while identifying strategies to mitigate detrimental effects. Thin oxynitride films may allow the use of complementary characterizations, not applicable to conventional powder samples. In particular, the study of the solid–liquid interface can benefit enormously from the use of thin films for synchrotron-based surface-sensitive X-Ray scattering methods and neutron reflectometry. These investigation approaches promise to speed up the design and discovery of new materials for the production of solar fuels, while paving the way for similar applications in other research fields. This work aims at reviewing the literature contributions on oxynitride thin films for solar water splitting summarizing what is learnt so far and suggesting experimental strategies to unveil what is still not clear.