Alkali metal–CO2 batteries, which combine CO2 recycling with energy conversion and storage, are a promising way to address the energy crisis and global warming. Unfortunately, the limited cycle life, poor reversibility, and low energy efficiency of these batteries have hindered their commercialization. Li–CO2 battery systems have been intensively researched in these aspects over the past few years, however, the exploration of Na–CO2 batteries is still in its infancy. To improve the development of Na–CO2 batteries, one must have a full picture of the chemistry and electrochemistry controlling the operation of Na–CO2 batteries and a full understanding of the correlation between cell configurations and functionality therein. Here, recent advances in CO2 chemical and electrochemical mechanisms on nonaqueous Na–CO2 batteries and hybrid Na–CO2 batteries (including O2‐involved Na–O2/CO2 batteries) are reviewed in‐depth and comprehensively. Following this, the primary issues and challenges in various battery components are identified, and the design strategies for the interfacial structure of Na anodes, electrolyte properties, and cathode materials are explored, along with the correlations between cell configurations, functional materials, and comprehensive performances are established. Finally, the prospects and directions for rationally constructing Na–CO2 battery materials are foreseen.