The energy storage capacity of batteries and supercapacitors has seen rising demand and problems as large-scale energy storage systems and electric gadgets have become more widely adopted. With the development of nano-scale materials, the electrodes of these devices have changed dramatically. Heterostructure materials have gained increased interest as next-generation materials due to their unique interfaces, resilient structures and synergistic effects, providing the capacity to improve energy/power outputs and battery longevity. This review focuses on the role of MgO in heterostructured magnetic and energy storage devices and their applications and synthetic strategies. The role of metal oxides in manufacturing heterostructures has received much attention, especially MgO. Heterostructures have stronger interactions between tightly packed interfaces and perform better than single structures. Due to their typical physical and chemical properties, MgO heterostructures have made a breakthrough in energy storage. In perpendicularly magnetized heterostructures, the MgO’s thickness significantly affects the magnetic properties, which is good news for the next generation of high-speed magnetic storage devices.