Compounds containing sulfonyl‐derived functional groups have received intensive attention owing to their widespread applications in life science, pharmaceuticals and materials science. To access this type of compounds, the multi‐component sulfonylation reactions relying on sulfur dioxide (SO2) insertion strategy have emerged as novel and attractive approaches in the past decade. The utilization of SO2 surrogates for SO2 insertion in the multicomponent reactions (MCRs) have improved reaction flexibility and step economy. Moreover, some advances have been achieved in the challenging but practical asymmetric MCRs for the construction of high value‐added chiral sulfones. This review aims to summarize the progress made in the MCRs involving SO2 surrogates from 2019 to 2022, and point out the potentials and challenges in this field. Multicomponent reactions (MCRs) have become popular tools for the efficient generation of sulfonyl‐containing molecules. Compared with gaseous SO2, the solid and stable sulfur dioxide surrogates are more convenient to handle. This significantly promotes the development of multi‐component sulfonylation reactions, and some advances have been achieved in the asymmetric MCRs for the construction of high value‐added chiral sulfones.