Aqueous zinc-ion batteries (AZIBs) are promising for large-scale grid storage due to inherent safety, low cost, environmental compatibility, high theoretical capacity (820 mAhg⁻¹), and suitable redox potential (−0.763 V vs. SHE). However, practical deployment is hindered by coupled challenges at the zinc anode–hydrogen evolution, dendrite growth, and corrosion/passivation, which severely limit cycle life and coulombic efficiency. This review systematically summarizes key advances in AZIB research. It first elucidates working principles and four cathode energy storage mechanisms: Zn²⁺ insertion/extraction, H⁺/Zn²⁺ co-insertion, chemical conversion, and dissolution/deposition. Second, it examines four mainstream cathodes (manganese-based, vanadium-based, Prussian blue analogs, and organic compounds), analyzing performance bottlenecks and corresponding optimization via structural modification. Third, it explores functional mechanisms of advanced separators (polymer, inorganic/ceramic composite, MOF-based, and cellulose-based) in regulating uniform Zn²⁺ deposition and suppressing dendrites. Fourth, it summarizes anode optimization strategies: artificial protective layers for interface stabilization, electrolyte additives to modulate Zn²⁺ solvation/deposition, and 3D porous structures to reduce local current density and provide nucleation sites. Finally, key scientific challenges and future directions are discussed—multi-strategy synergy, in situ characterization, practical battery construction, and sustainable technological development, offering theoretical guidance for advancing AZIBs toward large-scale applications. This review aims to provide a comprehensive perspective spanning from materials to systems, and from mechanisms to applications. Its core objective is not merely to list the types of cathode materials, but to establish a logical bridge directly connecting “key challenges” to “optimization strategies,” with a particular emphasis on the issues and solutions related to the cathode side.