Rechargeable Mg batteries are attractive candidates for large‐scale energy storage batteries with high safety due to the low‐cost and non‐dendritic metallic Mg anode. However, exploring high‐performance cathode materials is blocking their development. Herein, a high‐rate rechargeable Mg battery is established with a AgCl cathode, delivering a high reversible capacity of 70.3 mAh g−1 at 100 mA g−1, an outstanding rate capability of 32.6 mAh g−1 at 1000 mA g−1, and a superior long‐term cyclability over 500 cycles. Further investigation of the mechanism demonstrates that a conversion reaction takes place between AgCl and metallic Ag0 for the cathode. The solid‐state Mg2+ diffusion coefficient is as high as 8.1 × 10−11 cm2 s−1, which would be the reason for the high rate capability. The current study reveals significant insights to select promising Mg‐storage conversion cathodes by a combination of soft anions and soft transition‐metal cations.