The rapid evolution of smart grid system urges researchers on exploiting systems with properties of high‐energy, low‐cost, and eco‐friendly beyond lithium‐ion batteries. Under the circumstances, sodium‐ and potassium‐ion batteries with the semblable work mechanism to commercial lithium‐ion batteries, hold the merits of cost‐effective and earth‐abundant. As a result, it is deemed a promising candidate for large‐scale energy storage devices. Exploiting appropriate active electrode materials is in the center of the spotlight for the development of batteries. Metal selenides with special structures and relatively high theoretical capacity have aroused broad interest and achieved great achievements. To push the smooth development of metal selenides and enhancement of the electrochemical performance of sodium‐ and potassium‐ion batteries, it is vital to grasp the inherent properties and electrochemical mechanisms of these materials. Herein, the state‐of‐the‐art development and challenges of metal selenides are summarized and discussed. Meanwhile, the corresponding electrochemical mechanism and future development directions are also highlighted.