Microsized alloy anodes (Si, P, Sb, Sn, Bi, etc.) with high capacity, proper working potential, high tap density, and low cost are promising for breaking the energy limits of current rechargeable batteries. Nevertheless, they suffer from large volume changes during cycling processes, posing a great challenge in maintaining a thin, dense, and intact solid electrolyte interphase (SEI) layer. Recent progress suggests that the problematic SEI layer can be turned to advantage in maintaining the integrity of microparticle anodes if well designed, which is expected to significantly boost the cyclic stability without resorting to complex electrode architectures. Advances in this attractive direction are reviewed to shed light on future development. First, the key issues of high-capacity microsized alloy anodes and the fundamentals of the SEI layer are discussed. Thereafter, progress on the regulation strategies of SEI layers in high-capacity microsized alloy anodes for advanced rechargeable batteries, including electrolyte engineering, electrode surface modification, cycle protocols, and electrode architecture design, are outlined. Finally, potential challenges and perspectives on developing high-quality SEI layers for microsized alloy anodes are proposed.