Rechargeable magnesium batteries (RMBs) have been regarded as one of the promising electrochemical energy storage systems to complement Li‐ion batteries owing to the low‐cost and high safety characteristics. However, the various challenges including the sluggish solid‐state diffusion of highly polarizing Mg2+ ions in hosts, and the formation of blocking layers on Mg metal surface have seriously impeded the development of high‐performance RMBs. In order to solve these problems toward practical applications of RMBs, a tremendous amount of work on electrodes and electrolytes has been conducted in the last few decades. Creative optimization strategies including the modification of cathodes and anodes such as shielding the charges of divalent Mg2+, expanding the layers of host materials, and optimizing the interface of electrode–electrolyte are raised to promote the technology. In this review, the detailed description of innovative approaches, representative examples, and facing challenges for developing high‐performance electrodes are presented. Based on the review of these strategies, guidelines are provided for future research directions on improving the overall battery performance, especially on the electrodes.