Soft rubbery materials are capable of withstanding large deformation, and stretched rubber contracts when heated. Additionally, rubber balloons exhibit non-monotonic pressure–volume curves. These unique properties have inspired numerous ingenious inventions based on rubber balloons. To the authors’ knowledge, however, it is surprising that these properties have not inspired any study that exploits the elasticity of rubber balloons for energy storage. Motivated by these, this study examines the performance of water balloons as energy storage media. In each experiment, a single water balloon is implemented using a flat membrane, and it is subject to repeated inflation, heating, deflation, and cooling. Inflating the balloon deposits energy into it. The heating simulates the recycling of waste heat. The balloon delivers work during its deflation. Finally, the cooling completes the energy-storage cycle. The performance is evaluated in terms of the balloon’s transferred energies, efficiencies, and service life. Simple as it is, a water balloon is actually an impressively efficient energy storage medium. The efficiency is 85–90% when a water balloon stores and releases energy at room temperature. Recycling waste heat can boost a balloon’s efficiency beyond 100%, provided that the cost of the heat is negligible so that the heat is not taken as part of the input energy. However, heating shortens the service life of a balloon and reduces the total energy it can accommodate. By running fatigue tests on balloons, this study reveals the trade-off between a water balloon’s efficiency and its longevity. These results shall serve as a useful guide for implementing balloon-based mechanical devices not limited to energy-storage applications.