Nowadays, rechargeable batteries utilizing an S cathode together with an Mg anode are under substantial interest and development. The review is made from the point of view of materials engaged during the development of the Mg–S batteries, their sulfur cathodes, magnesium anodes, electrolyte systems, current collectors, and separators. Simultaneously, various hazards related to the use of such materials are discussed. It was found that the most numerous groups of hazards are posed by the material groups of cathodes and electrolytes. Such hazards vary widely in type and degree of danger and are related to human bodies, aquatic life, flammability of materials, or the release of flammable or toxic gases by the latter.