MA2Z4 monolayers form a new class of hexagonal non‐centrosymmetric materials hosting extraordinary spin‐valley physics. While only two compounds (MoSi2N4 and WSi2N4) are recently synthesized, theory predicts interesting (opto)electronic properties of a whole new family of such two‐dimensional (2D) materials. Here, the chemical trends of band gaps and spin‐orbit splittings of bands in selected MSi2Z4 (M = Mo, W; Z = N, P, As, Sb) compounds are studied from first‐principles. Effective Bethe–Salpeter‐equation‐based calculations reveal high exciton binding energies. Evolution of excitonic energies under external magnetic field is predicted by providing their effective g‐factors and diamagnetic coefficients, which can be directly compared to experimental values. In particular, large positive g‐factors are predicted for excitons involving higher conduction bands. In view of these predictions, MSi2Z4 monolayers yield a new platform to study excitons and are attractive for optoelectronic devices, also in the form of heterostructures. In addition, a spin‐orbit induced bands inversion is observed in the heaviest studied compound, WSi2Sb4, a hallmark of its topological nature.