Lithium-ion batteries (LIBs) have dominated the portable electronic and electrochemical energy markets since their commercialisation, whose high cost and lithium scarcity have prompted the development of other alkali-ion batteries (AIBs) including sodium-ion batteries (SIBs) and potassium-ion batteries (PIBs). Owing to larger ion sizes of Na+ and K+ compared with Li+, nanocomposites with excellent crystallinity orientation and well-developed porosity show unprecedented potential for advanced lithium/sodium/potassium storage. With enticing open rigid framework structures, Prussian blue analogues (PBAs) remain promising self-sacrificial templates for the preparation of various nanocomposites, whose appeal originates from the well-retained porous structures and exceptional electrochemical activities after thermal decomposition. This review focuses on the recent progress of PBA-derived nanocomposites from their fabrication, lithium/sodium/potassium storage mechanism, and applications in AIBs (LIBs, SIBs, and PIBs). To distinguish various PBA derivatives, the working mechanism and applications of PBA-templated metal oxides, metal chalcogenides, metal phosphides, and other nanocomposites are systematically evaluated, facilitating the establishment of a structure–activity correlation for these materials. Based on the fruitful achievements of PBA-derived nanocomposites, perspectives for their future development are envisioned, aiming to narrow down the gap between laboratory study and industrial reality.