To address the potential application of supercapacitors (SCs) in the field of alternating current filtering, this review summarizes the working mechanism toward ultrafast response, the progress of SCs in electrode materials, electrolytes (aqueous, organic electrolyte, and ionic liquids), current collectors, as well as device configuration. The performance of SCs is compared comprehensively with that of the commercial aluminum electrolyte capacitor (AEC) from the viewpoint of operating temperature, voltage, response time, impedance phase angle, and capacitance. Especially, there exists a big gap between AECs and SCs in terms of the operating temperature and operating voltage. And we give insights into future research focus for high‐frequency SCs, in terms of mechanism, structural design, and application management.