MXenes are an emerging class of two-dimensional transition metal carbides and nitrides with metallic conductivity and hydrophilic surfaces. The discovery of MXenes has opened new possibilities for developing advanced hybrid composites for energy storage and conversion applications. This review summarizes recent advances in developing MXene-based hybrid composites, including their synthesis, characterization, and electrochemical performance. The heterostructure of MXenes with nanocarbons, metal oxides, polymers, and other nanomaterials can overcome the limitations of pristine MXenes and lead to enhanced lithium/sodium-ion storage, pseudocapacitive performance, and electrocatalytic activity. Various fabrication techniques have been employed to synthesize MXene composites with controlled nanostructures, morphology, and interfacial properties. Characterization by microscopy, spectroscopy, and electrochemical methods has shed light on structure-property relationships in these materials. As electrode materials, properly designed MXene hybrids have achieved high specific capacity, excellent rate capability, and long-term stability. The review also discusses strategies for further improving MXene composite energy storage performance, as well as emerging applications such as thermoelectrics and photocatalysis. Continued research to understand interfacial effects and optimize MXene heterostructures holds promise for developing next-generation energy storage technologies.