An electrostatic capacitor has been widely used in many fields (such as high pulsed power technology, new energy vehicles, etc.) due to its ultrahigh discharge power density. Remarkable progress has been made over the past 10 years by doping ferroelectric ceramics into polymers because the dielectric constant is positively correlated with the energy storage density. However, this method often leads to an increase in dielectric loss and a decrease in energy storage efficiency. Therefore, the way of using a multilayer structure to improve the energy storage density of the dielectric has attracted the attention of researchers. Although research on energy storage properties using multilayer dielectric is just beginning, it shows the excellent effect and huge potential. In this review, the main physical mechanisms of polarization, breakdown and energy storage in multilayer structure dielectric are introduced, the theoretical simulation and experimental results are systematically summarized, and the preparation methods and design ideas of multilayer structure dielectrics are mainly described. This article covers not only an overview of the state-of-the-art advances of multilayer structure energy storage dielectric but also the prospects that may open another window to tune the electrical performance of the electrostatic capacitor via designing a multilayer structure.