Rechargeable magnesium batteries (RMBs) are one of the more promising future energy storage systems. This work proposes a non‐nucleophilic phenolate‐based magnesium complex (PMC) electrolyte enabling reversible Mg stripping/plating with a low over‐potential of 84.3 mV at 1 mA cm–2. Subsequently, Co doping is introduced to prepare FeS2, Fe0.9Co0.1S2, Fe0.75Co0.25S2 and Fe0.5Co0.5S2. Multiple characterizations confirm that Co doping can expand the crystal lattice and reduce particle sizes, thus benefiting cathode reactions. With Co doping, Fe orbitals can be expected to transform from high spin to low spin states without valence changes while the spin state of Co atoms is little influenced. Then, Co‐doped FeS2 cathodes coated on copper collectors coupling with a PMC electrolyte for RMBs show superior electrochemical performance among reported chalcogenide cathodes, displaying a maximum discharge capacity (700 mAh g–1) at 0.1 A g–1. Specifically, Fe0.5Co0.5S2 cathodes exhibit the best cycling stability and shortest activation time. Even at 1 A g–1, a discharge capacity (164 mAh g–1) is still achieved after 1000 cycles. Mechanistic studies indicate that copper collector participates in the cathode reactions accompanied by Cu1.8S generation while Fe and Co species play a synergistic catalytic role, providing effective tactics for rational design of electrolytes, conversion type cathodes, and collectors.