Rechargeable magnesium batteries (RMBs) have garnered significant attention due to their potential to provide high energy density, utilize earth‐abundant raw materials, and employ metal anode safely. Currently, the lack of applicable cathode materials has become one of the bottleneck issues for fully exploiting the technological advantages of RMBs. Recent studies on Mg cathodes reveal divergent storage performance depending on the electrolyte formulation, posing interfacial issues as a previously overlooked challenge. This minireview begins with an introduction of representative cathode‐electrolyte interfacial phenomena in RMBs, elaborating on the unique solvation behavior of Mg2+, which lays the foundation for interfacial chemistries. It is followed by presenting recently developed strategies targeting the promotion of Mg2+ desolvation in the electrolyte and alternative cointercalation approaches to circumvent the desolvation step. In addition, efforts to enhance the cathode‐electrolyte compatibility via electrolyte development and interfacial engineering are highlighted. Based on the abovementioned discussions, this minireview finally puts forward perspectives and challenges on the establishment of a stable interface and fast interfacial chemistry for RMBs.