The electrochemical CO2 reduction reaction (CO2RR) is a promising approach for mitigating the greenhouse effect arising from anthropogenic CO2 emission. Nonetheless, poor product selectivity associated with electrochemical catalysts is the main technical problem for the application of CO2RR technology. The catalytic performance of nano-catalysts is strongly dependent on their microstructural features. Anomalous small-angle X-ray scattering (ASAXS) is one of the most effective techniques for studying nanostructural change in an operando way, especially for complex systems and mixed-element catalyst situations. Furthermore, based on the research results of ASAXS, appropriate catalyst components and nanostructures can be designed to achieve stable catalytic performance of the catalyst, promote catalytic reaction rate, or improve catalytic reaction selectivity. In this paper, the basic concept, principle, and applications in different systems of ASAXS are reviewed thoroughly. Finally, the development prospect of ASAXS in the field of electrocatalysis is prospected. It is hoped that this review will further promote ASAXS technology to play a more far-reaching impact in the field of electrocatalytic CO2RR.