Silicon (Si) has been attracting extensive attention for rechargeable lithium (Li)‐ion batteries due to its high theoretical capacity and low potential vs Li/Li⁺. However, it remains challenging and problematic to stabilize the Si materials during electrochemical cycling because of the huge volume expansion, which results in losing electric contact and pulverization of Si particles. Consequently, the Si anode materials generally suffer from poor cycling, poor rate performance, and low coulomb efficiency, preventing them from practical applications. Up‐to‐date, there are numerous reports on the engineering of Si anode materials at microscale and nanoscale with significantly improved electrochemical performances. In this review, we will concentrate on various precisely designed protective layers for silicon‐based materials, including carbon layers, inorganic layers, and conductive polymer protective layer. First, we briefly introduced the alloying and failure mechanism of Si as anode materials upon electrochemical reactions. Following that, representative cases have been introduced and summarized to illustrate the purpose and advancement of protective coating layers, for instance, to alleviate pulverization and improve conductivity caused by volume expansion of Si particles during charge/discharge process, and maintain the surface stability of Si particles to form a stable solid‐electrolyte interphase layer. At last, possible strategies on the protective coating layer for stabilizing silicon anode materials that can be applied in the future have been indicated.