Non-aqueous magnesium (Mg) batteries have attracted considerable attention as a promising next-generation energy storage technology, owing to the high Mg resource abundance and good safety. Nevertheless, the development of efficient non-aqueous electrolytes remains a critical challenge that hinders the practical deployment of Mg batteries. This review provides a comprehensive analysis of recent advances, ongoing challenges, and future directions for non-aqueous electrolytes in Mg batteries, emphasizing both chlorine-containing and chlorine-free electrolytes. Furthermore, it discusses how these electrolyte systems influence the Mg stripping/plating process, particularly in terms of compatibility with the Mg metal anode, and evaluates their electrochemical stability, including the applicable voltage window. Chlorine-containing electrolytes exhibit high ionic conductivities and reversibility but present challenges related to corrosion and limited electrochemical stability. In contrast, chlorine-free electrolytes offer a more eco-friendly alternative, though often with lower ionic conductivity and limited compatibility with Mg metal anodes. This review examines electrolyte design strategies, atomistic structures, and performance optimization to outline the advantages and drawbacks of each electrolyte type. Emerging methodologies for advanced electrolyte development are also discussed. This comprehensive analysis highlights the pivotal role of electrolyte innovation in realizing the full potential of non-aqueous Mg batteries and advancing sustainable, high-performance energy storage solutions.