Rechargeable sodium–oxygen (Na-O2) and sodium–carbon dioxide (Na-CO2) batteries have attracted intensive research attention in recent years owing to their advantages of high theoretical energy density, modest cost, abundance of sodium resources, and promising potential for achieving real sodium–air batteries in large-scale energy storage systems. Nevertheless, current research on Na-O2 and Na-CO2 batteries is facing enormous challenges, such as low energy efficiency and limited cycle life, which are restricting their progress at the initial stage. Therefore, understanding their working principles, and the chemical and electrochemical reactions of the electrodes is indispensable to achieve their practical application and even the goal of true sodium–air batteries. This review aims to provide an overview of the research developments and future perspectives on Na-O2 and Na-CO2 batteries, which include the major aspects, such as working mechanisms, air cathode materials design strategies, sodium anode protection, and electrolyte stability. Moreover, the remaining issues and future research directions are also thoroughly discussed and presented.