Since the 1960s, a new class of Si-based advanced ceramics called polymer-derived ceramics (PDCs) has been widely reported because of their unique capabilities to produce various ceramic materials (e.g., ceramic fibers, ceramic matrix composites, foams, films, and coatings) and their versatile applications. Particularly, due to their promising structural and functional properties for energy conversion and storage, the applications of PDCs in these fields have attracted much attention in recent years. This review highlights the recent progress in the PDC field with the focus on energy conversion and storage applications. Firstly, a brief introduction of the Si-based polymer-derived ceramics in terms of synthesis, processing, and microstructure characterization is provided, followed by a summary of PDCs used in energy conversion systems (mainly in gas turbine engines), including fundamentals and material issues, ceramic matrix composites, ceramic fibers, thermal and environmental barrier coatings, as well as high-temperature sensors. Subsequently, applications of PDCs in the field of energy storage are reviewed with a strong focus on anode materials for lithium and sodium ion batteries. The possible applications of the PDCs in Li-S batteries, supercapacitors, and fuel cells are discussed as well. Finally, a summary of the reported applications and perspectives for future research with PDCs are presented.