Poly(vinylidene fluoride) (PVDF) based polymer nanocomposites with high‐permittivity nanofillers exhibit outstanding dielectric energy storage performance due to their high dielectric permittivities and breakdown strength. However, their discharge efficiency is relatively low (usually lower than 70%), which limits their practical applications. Here, polymer nanocomposites with a novel interpenetrating gradient structure are designed and demonstrated by cofilling a PVDF matrix with barium zirconate titanate nanofibers and hexagonal boron nitride nanosheets via modified nonequilibrium processing. The interpenetrating gradient structure is highly effective in breaking the trade‐off between discharge energy density and efficiency of the corresponding nanocomposite, as indicated by the concomitantly enhanced discharge energy density (U
e ≈ 23.4 J cm−3) and discharge efficiency (η ≈ 83%). The superior performance is primarily attributed to the rational distribution of nanofillers in the polymer matrix, which raises the height of the potential barrier for charge injection at the dielectric/electrode interface, suppresses electric conduction and contributes to enhanced apparent breakdown strength. Meanwhile, the gradient configuration allows higher volume fraction of high‐permittivity nanofillers without compromising the breakdown strength, leading to higher electric polarization compared with the random configuration. This work provides new opportunities to PVDF‐based polymer nanocomposites with high energy density and discharge efficiency for capacitive energy storage applications.