High-efficiency energy storage technologies and devices have received considerable attention due to their ever-increasing demand. Na-related energy storage systems, sodium ion batteries (SIBs) and sodium ion capacitors (SICs), are regarded as promising candidates for large-scale energy storage because of the abundant sources and low cost of sodium. In the last decade, many efforts, including structural and compositional optimization, effective modification of available materials, and design and exploration of new materials, have been made to promote the development of Na-related energy storage systems. In this Review, the latest developments of micro/nanostructured electrode materials for advanced SIBs and SICs, especially the rational design of unique composites with high thermodynamic stabilities and fast kinetics during charge/discharge, are summarized. In addition to the recent achievements, the remaining challenges with respect to fundamental investigations and commercialized applications are discussed in detail. Finally, the prospects of sodium-based energy storage systems are also described.