Dielectric capacitors, which store electrical energy in the form of an electrostatic field via dielectric polarization, are used in pulsed power electronics due to their high power density and ultrashort discharge time. In pursuit of developing high‐performance dielectric capacitors, special attention has been given to the improvement of their energy density and storage efficiency, which would make them useful for an even wider variety of applications. Among the different dielectric materials studied so far, including polymers, glasses, and both bulk and film‐based ceramics, dielectric ceramic films, which are of particular interest for miniature power electronics and mobile platforms, have demonstrated the greatest energy storage performances. In this regard, several interesting approaches involving physical, chemical, and microstructural modifications of the dielectric ceramic films are adopted. In addition to a brief discussion of the polymers, glasses, and ceramics used in dielectric capacitors and key parameters related to their energy storage performance, this review article presents a comprehensive overview of the numerous efforts made toward enhancing the energy storage properties of linear dielectric, paraelectric, ferroelectric, relaxor ferroelectric, and anti‐ferroelectric ceramic films for their applications in pulsed power capacitors.