Prussian blue analogs (PBAs), the oldest artificial cyanide‐based coordination polymers, possess open framework structures, large specific surface areas, uniform metal active sites, and tunable composition, showing significant perspective in electrochemical energy storage. These electrochemically active materials have also been converted to various functional metal containing nanomaterials, including carbon encapsulated metals/metal alloys, metal oxides, metal sulfides, metal phosphides, etc. originating from the multi‐element compositions as well as elaborate structure design. In this paper, a comprehensive review will be presented on the recent progresses in the development of PBA frameworks and their derivatives based electrode materials and electrocatalysts for electrochemical energy storage and conversion. In particular, it will focus on the synthesis of representative nanostructures, the structure design, and figure out the correlation between nanomaterials structure and electrochemical performance. Lastly, critical scientific challenges in this research area are also discussed and perspective directions for the future research in this field are provided, in order to provide a brand new vision into the further development of novel active materials for the next‐generation advanced electrochemical devices.