Prussian blue analogues (PBAs, A2T[M(CN)6], A = Li, K, Na; T = Fe, Co, Ni, Mn, Cu, etc.; M = Fe, Mn, Co, etc.) are a large family of materials with an open framework structure. In recent years, they have been intensively investigated as active materials in the field of energy conversion and storage, such as for alkaline‐ion batteries (lithium‐ion, LIBs; sodium‐ion, NIB; and potassium‐ion, KIBs), and as electrochemical catalysts. Nevertheless, few review papers have focused on the intrinsic chemical and structural properties of Prussian blue (PB) and its analogues. In this Review, a comprehensive insight into the PBAs in terms of their structural and chemical properties, and the effects of these properties on their materials synthesis and corresponding performance is provided.