Rechargeable lithium-ion batteries (LIBs) are the dominant technology for secondary batteries due to their exceptional cycle life and superior energy density. However, for large-scale energy storage applications, sodium-ion batteries (SIBs) are considered a promising alternative owing to their abundant sodium resources, low cost, and relatively high energy density. SIBs display gorgeous application prospects as a superior alternative to extensively commercialized LIBs. Problems such as the low performance of suitable anode materials in large-scale SIBs, due to the large size and sluggish kinetics of Na⁺ have limited their development. So, further progress in SIBs performance is still needed in terms of fast-charging capability, cyclic stability, and power/energy densities. In this review, the latest progress in the preparation strategies and application challenges of SIBs is summarized, focusing on the fundamentals of the design principles and sodium storage mechanisms in various classes of anode materials including carbon-based, inorganic, organic, and MXene-derived systems. Structural and surface engineering techniques, electrochemical performance evaluation, machine learning (ML), and artificial intelligence (AI) are also discussed to elucidate ion storage mechanisms and accelerate anode material design for next-generation SIBs.