Li‐chalcogen batteries, especially the Li–S batteries (LSBs), have received paramount interests as next generation energy storage techniques because of their high theoretical energy densities. However, the associated challenges need to be overcome prior to their commercialization. Elemental selenium, another chalcogen member, would be an attractive alternative to sulfur owing to its higher electronic conductivity, comparable capacity density, and moreover, excellent compatibility with carbonate electrolytes. Unlike LSBs, the research and development of Li–Se batteries (LSeBs) have garnered burgeoning attention but are still in their infant stage, where a comprehensive yet in‐depth overview is highly imperative to guide future research. Herein, a critical review of LSeBs, in terms of the underlying mechanisms, cathode design, blocking layer engineering, and emerging solid‐state electrolytes is provided. First, the electrolyte‐dependent electrochemistry of LSeBs is discussed. Second, the advances in Se‐based cathodes are comprehensively summarized, especially highlighting the state‐of‐the‐art SexSy cathodes, and mainly focusing on their structures, compositions, and synthetic strategies. Third, the versatile separators/interlayers optimization and interface regulation are outlined, with a particular focus on the emerging solid‐state electrolytes for advanced LSeBs. Last, the remaining challenges and research orientations in this booming field are proposed, which are expected to motivate more insightful works.