Magnesium batteries present high volumetric energy density and dendrite‐free deposition of Mg, drawing wide attention in energy‐storage devices. However, their further development remains stagnated due to relevant interfacial issues between the Mg anode and the electrolyte and sluggish solid‐state diffusion kinetics of Mg2+ ions. Herein, an in situ conversion chemistry to construct a nanostructured Bi anode from bismuth selenide driven by Li+ is proposed. Through the combination of operando synchrotron X‐ray diffraction, ex situ synchrotron X‐ray absorption spectroscopy, and comprehensive electrochemical tests, it is demonstrated that the nanosize of the in‐situ‐formed Bi crystals contributes to the fast Mg2+ diffusion kinetics and highly efficient Mg–Bi alloingy/de‐alloying. The resultant Bi anodes exhibit superior long‐term cycling stability with over 600 cycles under a high current density of 1.0 A g‐1. This work provides a new approach to construct alloy anode and paves the way for exploring novel electrode materials for magnesium batteries.