Owing to its low cost, high theoretical capacity, and environmentally friendly characteristics, pyrite FeS2 demonstrates promise as a cathode material for high‐energy metal‐anode‐based rechargeable batteries. When it is used in a rechargeable magnesium battery (RMB), the electrode couple exhibits an extremely low theoretical volume change upon full discharge. However, its electrochemical Mg‐ion storage is considerably hindered by slow reaction kinetics. In this study, a high‐performance FeS2 cathode for RMBs using a copper current collector is reported, which is involved in cathode reactions via a reversible redox process between copper and cuprous sulfide. This phase transformation with the formation of copper nanowires during discharge activates the redox reactions of FeS2 via a two‐step and four‐electron Mg‐ion transfer that dominates the cathode reactions. As a result, the as‐prepared FeS2 nanomaterial cathode delivers a significantly enhanced reversible capacity of 679 mAh g−1 at 50 mA g−1. The corresponding energy density of 714 Wh kg−1 is superior to those of all previously reported metal chalcogenide cathodes in RMBs or hybrid batteries using a Mg metal anode. Notably, the as‐assembled FeS2–Mg battery can operate over 1000 cycles with a good capacity retention at 400 mA g−1.