Energy storage capacitors occupy a large proportion in the pulse power equipment, and they play an important role nowadays. In recent years, anti‐ferroelectric materials have attracted increasing attention of researchers due to their high energy storage density. Compared with the lead‐free anti‐ferroelectric materials, PbZrO3 (PZ)‐based anti‐ferroelectric films are defined as promising electrical energy storage devices for pulsed power systems due to their ultrahigh energy storage density. During the past decade, numerous studies have been reported to develop high‐performance PZ‐based anti‐ferroelectric thin films for electrical energy storage applications. This review focuses on the recent progress of PZ‐based anti‐ferroelectric films for energy storage, and provides various ways, such as element modification (replacing of one element in the ABO3 structure by another element), composite materials (adding secondary phase into PZ films to form composite films), and process improvement (such as the tuning of different bottom electrodes), to improve their energy storage density. Finally, the problems and future development directions of the PZ‐based films are raised.