Na-ion batteries (NIBs) have gained attention as a cost-effective option for large-scale energy storage, offering electrochemical properties similar to lithium-ion batteries (LIBs). To improve safety and energy density, solid-state electrolytes (SSEs) are being incorporated into NIBs, paving the way for high-performance all-solid-state sodium-ion batteries (ASSNIBs). This review summarises recent progress in Na-based SSEs, categorised into oxides, sulfides, and halides, with particular emphasis on their crystal structures, ion conduction mechanisms, and electrochemical performance. We then critically examine the key challenges facing ASSNIBs, including low ionic conductivity, unstable electrode/electrolyte interfaces, and the reliance on rare or costly materials. To gain deeper insights into these issues, we highlight advanced characterisation and modelling techniques, including cryogenic electron microscopy, in-situ/operando characterisation, and machine learning approaches—all of which contribute to understanding Na-ion transport mechanisms and interfacial dynamics more comprehensively, and comparing with conventional electrochemical tests, structural characterisation and modelling methods. Building on these insights, we explore promising strategies such as microstructural design, mixed-ion approaches, and interface engineering to overcome the current limitations in Na SSEs. Finally, we offer perspectives on future research directions to support the rational design and optimisation of Na SSEs, ultimately advancing the development of next-generation ASSNIBs. The advanced characterisation and machine learning methodologies emphasised herein will also prove valuable for broader applications in electrochemical energy storage systems.