Rechargeable magnesium (Mg) battery has been considered as a promising candidate for future battery generations because of its potential high-energy density, its safety features and low cost. The challenges lying ahead for the realization of Mg battery in general are to develop proper electrolytes fulfilling a multitude of requirements and to discover cathode materials enabling high-energy Mg batteries. The combination of Mg anode with a sulfur cathode is one of the promising electrochemical couples due to its advantages of safety, low costs, and a high theoretical energy density of over 3200 Wh/L. However, the research on magnesium–sulfur (Mg–S) battery is just at its beginning and the development of suitable electrolytes has been the key challenge for further improvement, and, thus, in the focus of recent research. In this review, we highlight the recent progress achieved in Mg electrolytes and Mg–S batteries and discuss the major technical issues, which must be resolved for the improvement of Mg–S batteries.