Dielectric composites boost the family of energy storage and conversion materials as they can take full advantage of both the matrix and filler. This review aims at summarizing the recent progress in developing high‐performance polymer‐ and ceramic‐based dielectric composites, and emphases are placed on capacitive energy storage and harvesting, solid‐state cooling, temperature stability, electromechanical energy interconversion, and high‐power applications. Emerging fabrication techniques of dielectric composites such as 3D printing, electrospinning, and cold sintering are addressed, following by highlighted challenges and future research opportunities. The advantages and limitations of the typical theoretical calculation methods, such as finite‐element, phase‐field model, and machine learning methods, for designing high‐performance dielectric composites are discussed. This review is concluded by providing a brief perspective on the future development of composite dielectrics toward energy and electronic devices.