Amid burgeoning environmental concerns, electrochemical energy storage has rapidly gained momentum. Among the contenders in the "beyond lithium" energy storage arena, the magnesium-sulfur (Mg/S) battery has emerged as particularly promising, owing to its high theoretical energy density. However, the gap between fundamental research and practical application is still hindering the commercialization of Mg/S batteries. Here, through reviewing the recent developments of Mg/S batteries technologies, especially with respect to energy density and cost, we present the primary technical challenges on both materials and device level to surpass the energy density and cost-effectiveness of lithium-ion battery. While the high electrolyte-sulfur ratio and the expensive liquid electrolyte are significantly limiting the practical application of Mg/S batteries, we found that solid-state Mg electrolyte appears to be a feasible solution on the basis of energy density and cost evaluation.