We reported a sandwich structured Pb(Zr0.4Ti0.6)O3/BaZr0.2Ti0.8O3/Pb(Zr0.4Ti0.6)O3 (PZT/BZT/PZT) film fabricated by using the sol–gel method, which was dense and uniform with a unique perovskite structure. The PZT/BZT/PZT films displayed high dielectric constants up to 1722.45 at the frequency of 10 kHz. Additionally, the enhanced energy storage density of 39.27 J·cm−3 was achieved at room temperature and 2.00 MV/cm, which was higher than that of the individual BaZr0.2Ti0.8O3 film (21.28 J·cm−3). Furthermore, the energy storage density and efficiency of PZT/BZT/PZT film increased slightly with the increasing temperature from −140 °C to 200 °C. This work proves the feasibility and effectiveness of a sandwich structure in improving dielectric, leakage, and energy storage performances, providing a new paradigm for high-energy–density dielectrics applications.