Benefiting from higher volumetric capacity, environmental friendliness and metallic dendrite-free magnesium (Mg) anodes, rechargeable magnesium batteries (RMBs) are of great importance to the development of energy storage technology beyond lithium-ion batteries (LIBs). However, their practical applications are still limited by the absence of suitable electrode materials, the sluggish kinetics of Mg2+ insertion/extraction and incompatibilities between electrodes and electrolytes. Herein, a systematic and insightful review of recent advances in RMBs, including intercalation-based cathode materials and conversion reaction-based compounds is presented. The relationship between microstructures with their electrochemical performances is comprehensively elucidated. In particular, anode materials are discussed beyond metallic Mg for RMBs. Furthermore, other Mg-based battery systems are also summarized, including Mg–air batteries, Mg–sulfur batteries, and Mg–iodine batteries. This review provides a comprehensive understanding of Mg-based energy storage technology and could offer new strategies for designing high-performance rechargeable magnesium batteries.