Covalent organic frameworks (COFs), which are constructed by linking organic building blocks via dynamic covalent bonds, are newly emerged and burgeoning crystalline porous copolymers with features including programmable topological architecture, pre‐designable periodic skeleton, well‐defined micro‐/meso‐pore, large specific surface area, and customizable electroactive functionality. Those benefits make COFs as promising candidates for advanced electrochemical energy storage. Especially, for now, structure engineering of COFs from multi‐scale aspects has been conducted to enable optimal overall electrochemical performance in terms of structure durability, electrical conductivity, redox activity, and charge storage. In this review, we give a fundamental and insightful study on the correlations between multi‐scale structure engineering and eventual electrochemical properties of COFs, started with introducing their basic chemistries and charge storage principles. The careful discussion on the significant achievements in structure engineering of COFs from linkages, redox sites, polygon skeleton, crystal nanostructures, and composite microstructures, and further their effects on the electrochemical behavior of COFs are presented. Finally, the timely cutting‐edge perspectives and in‐depth insights into COF‐based electrode materials to rationally screen their electrochemical behaviors for addressing future challenges and implementing electrochemical energy storage applications are proposed.