As global energy storage demand increases, sodium‐ion batteries are often considered as an alternative to lithium‐ion batteries. Hexacyanoferrate cathodes, commonly referred to as Prussian blue analogues (PBAs), are of particular interest due their low‐cost synthesis and promising electrochemical response. However, because they consist of ~50 wt% cyanide anions, a possible release of highly toxic cyanide gases poses a significant safety risk. Previously, we observed the evolution of (CN)2 during cycling via differential electrochemical mass spectrometry (DEMS), but were unable to determine a root cause or mechanism. In this work, we present a systematical investigation of the gas evolution of Prussian white (PW) with different water content via DEMS. While H2 is the main gas detected, especially in hydrated PW and during overcharge (4.6 V vs. Na+/Na), the evolution of CO2 and (CN)2 depends on the electrolyte conductive salt. The use of oxidative NaClO4 instead of NaPF6 is the leading cause for the formation of (CN)2. Mass spectrometric evidence of trace amounts of HCN is also found, but to a much lower extent than (CN)2, which is the dominant safety risk when using NaClO4‐containing electrolyte. Despite being a good model salt, it is not a viable option for commercial applications.