Advanced architecture and rational design of electrode materials for electrochemical sodium‐ion storage are well developed by researchers worldwide. MXene‐based materials are considered as one of the most potential electrode materials for sodium‐ion‐based devices, such as sodium‐ion batteries (SIBs), sodium–sulfur batteries (SSBs), and sodium‐ion capacitors (SICs), because of the excellent physicochemical characteristics of MXenes. Here, in this review, the recent research work and progress, both theoretical and experimental, on MXene‐based materials including pure MXenes and MXene‐based composites in application of SIBs, SSBs, and SICs are comprehensively summarized. The sodium storage mechanisms and the effective methods to enhance the electrochemical performance are also discussed. Finally, the current critical challenges and future research directions on the development of these MXene‐based materials for electrochemical sodium‐ion storage are presented.