Recently, Prussian blue analogues (PBAs)-based anode materials (oxides, sulfides, selenides, phosphides, borides, and carbides) have been extensively investigated in the field of energy conversion and storage. This is due to PBAs’ unique properties, including high theoretical specific capacity, environmental friendly, and low cost. We thoroughly discussed the formation of PBAs in conjunction with other materials. The performance of composite materials improves the electrochemical performance of its energy storage materials. Furthermore, new insights are provided for the manufacture of low-cost, high-capacity, and long-life battery materials in order to solve the difficulties in different electrode materials, combined with advanced manufacturing technology and principles. Finally, PBAs and their composites’ future challenges and opportunities are discussed.