The increasing demand for sustainable energy solutions has prompted a significant interest in non-conventional energy sources, leading to the development of innovative materials that can enhance energy conversion and storage efficiency. This review paper explores the pivotal role of zirconium dioxide (ZrO2) in industrial applications related to non-conventional energy technologies, highlighting its contributions to the circular economy. We discuss various synthesis methods for ZrO2, including top-down and bottom-up approaches, elucidating how these techniques influence the material’s properties and applicability. Furthermore, we examine the unique characteristics of nano-ZrO2 and its transformative potential in energy conversion and storage systems. By synthesizing current research findings, this review underscores the significance of ZrO2 in promoting sustainable energy practices and its role in advancing the circular economy through material reuse and recycling strategies. The insights provided herein aim to inform future research directions and industrial applications, ultimately fostering a more sustainable energy landscape.