Sodium‐ion technology has the potential to become the next generation of low cost and environmentally friendly electrochemical energy storage system for grid‐level applications. The low cost and abundant raw materials employed in sodium cells have driven the recent increasing interest in sodium‐ion batteries (SIBs), which appear especially appealing, since manufacturers can use the already existing production technology of lithium‐ion batteries. However, SIBs are still an early stage technology, which requires several issues affecting cell performance to be addressed. Despite the accelerated development of cathode materials, anode materials still require further investigation and optimization to reach high energy density performance. In the pursuit of high capacity anode materials, several alloying‐, conversion‐, and combined conversion–alloying‐based electrodes have been investigated. This review offers a comprehensive overview on the recent progresses toward the realization of “beyond‐insertion” anode materials. The role of nanostructuration with the associated advantages and disadvantages is presented for each class of compounds, combined with the main strategies adopted to improve the electrochemical behavior. Finally, an overview of the challenges and perspectives associated with the development of the next generation of anode materials is presented with a particular focus on the role of the electrolyte solutions and solid/electrolyte interphase.