The development of pulse power systems and electric power transmission systems urgently require the innovation of dielectric materials possessing high-temperature durability, high energy storage density, and efficient charge–discharge performance. This study introduces a core-double-shell-structured iron(II,III) oxide@barium titanate@silicon dioxide/polyetherimide (Fe3O4@BaTiO3@SiO2/PEI) nanocomposite, where the highly conductive Fe3O4 core provides the foundation for the formation of microcapacitor structures within the material. The inclusion of the ferroelectric ceramic BaTiO3 shell enhances the composite’s polarization and interfacial polarization strength while impeding free charge transfer. The outer insulating SiO2 shell contributes excellent interface compatibility and charge isolation effects. With a filler content of 9 wt%, the Fe3O4@BaTiO3@SiO2/PEI nanocomposite achieves a dielectric constant of 10.6, a dielectric loss of 0.017, a high energy density of 5.82 J cm−3, and a charge–discharge efficiency (η) of 72%. The innovative aspect of this research is the design of nanoparticles with a core-double-shell structure and their PEI-based nanocomposites, effectively enhancing the dielectric and energy storage performance. This study provides new insights and experimental evidence for the design and development of high-performance dielectric materials, offering significant implications for the fields of electronic devices and energy storage.