Pseudocapacitive materials that store charges via reversible surface or near‐surface faradaic reactions are capable of overcoming the capacity limitations of electrical double‐layer capacitors. Revealing the structure–activity relationship between the microstructural features of pseudocapacitive materials and their electrochemical performance on the atomic scale is the key to build high‐performance capacitor‐type devices containing ideal pseudocapacitance effect. Currently, the high brightness (flux), and spectral and coherent nature of synchrotron X‐ray analytical techniques make it a powerful tool for probing the structure–property relationship of pseudocapacitive materials. Herein, we report a comprehensive and systematic review of four typical characterization techniques (synchrotron X‐ray diffraction, pair distribution function [PDF] analysis, soft X‐ray absorption spectroscopy, and hard X‐ray absorption spectroscopy) for the study of pseudocapacitance mechanisms. In addition, we offered significant insights for understanding and identifying pseudocapacitance mechanisms (surface redox pseudocapacitance, intercalation pseudocapacitance, and the extrinsic pseudocapacitance phenomenon in battery materials) by combining in situ hard XAS and electrochemical analyses. Finally, a perspective for further depth of understanding into the pseudocapacitance mechanism using synchrotron X‐ray analytical techniques is proposed.