In gas diffusion electrodes (GDEs), electrocatalysts are in contact with gas and electrolyte ensuring a large active three-phase boundary. GDEs are used for important technical applications in energy transformation and chemical synthesis. This review gives an introduction into the vast range of existing models for GDEs and their specific purpose, with an emphasis on oxygen reduction electrodes. After introducing the processes occurring in GDEs, modeling approaches are described according to their dimensionality (from 0D to 3D to multiscale) and perspectives for future research are discussed.