Efficient solar energy utilization technologies are expected to promote the development of a carbon‐neutral and renewable energy society. Photovoltaic cells (PVs) have played an important role in the harvest and conversion of solar energy. Due to the intermittent instability of solar energy, however, PVs must be connected with energy storage systems (EESs). Newly developed photoelectrochemical energy storage devices (PESs) are proposed to directly convert solar energy into electrochemical energy. Initial PESs focused on the external and internal integration of PVs and EESs. However, the voltage mismatch between PVs and EESs leads to massive energy loss and unsatisfactory overall performances of PESs. PESs using dual‐functional photoactive materials (PAMs), which have simplified device configuration, decreased costs, and external energy loss, have recently emerged for realization of solar‐to‐electrochemical‐energy conversion and storage in a single device. The review summarizes the designing concepts, integrated configurations, and overall performances of different types of PESs, particularly PESs utilizing dual‐functional PAMs. Based on the classifications, working principles, basic requirements, and design principles, this review discusses various types of PESs cathodes. Finally, some perspectives are provided for further developing excellent performances of PESs.