Abstract The desperate pursuit of high gravimetric specific energy leads to the ignorance of volumetric energy density that is one of the basic requirements for batteries. Due to the high volumetric capacity, less‐prone formation of dendrite, and low reduction potential of Mg metal, rechargeable Mg batteries are considered with innately high volumetric energy density. Nevertheless, the substantial elevation in energy density is compromised by extremely excessive Mg metal anode. Herein, the proof‐of‐concept of anode‐free Mg 2 Mo 6 S 8 ‐MgS/Cu batteries is proposed, in which MgS as the premagnesiation additive constantly decomposes to replenish Mg loss by electrolyte corrosion over cycling, while both Mg 2 Mo 6 S 8 and MgS acts as the active material to reversibly provide high capacities. Besides, Mg 2 Mo 6 S 8 shows superior catalytic activity on the decomposition of MgS and provides the strong affinity to polysulfides to restrain their dissolution. Consequently, the anode‐free Mg 2 Mo 6 S 8 ‐MgS/Cu batteries deliver a high reversible capacity of 190 mAh g −1 with the capacity retention of 92% after 100 cycles, corresponding to the highly competitive energy density of 420 Wh L −1 . The proposed anode‐free Mg battery here spotlights the great promise of Mg batteries in achieving high volumetric energy densities, which will significantly expedite the advances of Mg batteries in practice.