Sodium-ion batteries (SIBs) have huge potential for applications in large-scale energy storage systems due to their low cost and abundant sources. It is essential to develop new electrode materials for SIBs with high performance in terms of energy density, cycle life, and cost. Metal binary compounds that operate through conversion reactions hold promise as advanced anode materials for sodium storage. This Review highlights the storage mechanisms and advantages of conversion-type anode materials and summarizes their recent development. Although conversion-type anode materials have high theoretical capacities and abundant varieties, they suffer from multiple challenging obstacles to realize commercial applications, such as low reversible capacity, large voltage hysteresis, low initial coulombic efficiency, large volume changes, and low cycling stability. These key challenges are analyzed in this Review, together with emerging strategies to overcome them, including nanostructure and surface engineering, electrolyte optimization, and battery configuration designs. This Review provides pertinent insights into the prospects and challenges for conversion-type anode materials, and will inspire their further study.