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This study investigates the escape of Mercury's sodium‐group ions (Na+‐group, including ions with m/q from 21 to 30 amu/e) and their dependence on true anomaly angle (TAA), that is, Mercury's orbital phase around the Sun, using measurements from MESSENGER. The measurements are categorized into solar wind, magnetosheath, and magnetosphere, and further divided into four TAA intervals. Na+‐group ions form escape plumes in the solar wind and magnetosheath, with higher fluxes along the solar wind's motional electric field. The total escape rates vary from 0.2 to 1 × 1025 atoms/s with the magnetosheath being the main escaping region. These rates exhibit a TAA dependence, peaking near the perihelion and similar during Mercury's remaining orbit. Despite Mercury's tenuous exosphere, Na+‐group ions escape rate is comparable to other inner planets. This can be attributed to several processes, including that Na+‐group ions may include several ion species, efficient photoionization frequency for elements within Na‐group, etc. Plain Language Summary: Atmospheric escape is defined as the loss of atmospheric particles in the form of neutrals and ions into outer space. Understanding atmospheric escape is a fundamental science question for studying the evolution of planetary atmosphere and habitability, as it can provide insight into how life can form on a planet. While atmospheric escape has been extensively studied in Venus, Earth, and Mars through in situ measurements and simulations, it remains poorly understood at Mercury. In this study, we investigate the escape of the most abundant heavy ions at Mercury, specifically the Na+‐group ions, using MESSENGER's measurements. Our findings show that the escape rates of the Na+‐group ions are dependent on Mercury's orbital phase around the Sun, exhibiting a seasonal effect with rates from 0.2 to 1 × 1025 atoms/s. This rate is comparable to the ion's escape rates at other inner planets, which is surprising given that Mercury only has a tenuous exosphere. We propose that this can be attributed to several processes such as efficient photoionization, solar wind sputtering, and solar wind momentum exchange at Mercury, and the Na+‐group ions include several ion species such as Na+, aluminum ion (Al+), silicon ion (Si+) and magnesium ion (Mg+) etc. Key Points: Na+‐group ions form escape plumes in solar wind and magnetosheath, with higher fluxes in the positive solar wind electric field hemisphereThe escape rate ranges from 0.2 to 1 × 1025 atoms/s, with the magnetosheath being the main escaping regionEscape rates peak near perihelion, and are similar during other true anomaly angle (TAA) intervals [ABSTRACT FROM AUTHOR]