High‐performance electrode materials are the key to advances in the areas of energy conversion and storage (e.g., fuel cells and batteries). In this Review, recent progress in the synthesis and electrochemical application of transition metal carbides (TMCs) and nitrides (TMNs) for energy storage and conversion is summarized. Their electrochemical properties in Li‐ion and Na‐ion batteries as well as in supercapacitors, and electrocatalytic reactions (oxygen evolution and reduction reactions, and hydrogen evolution reaction) are discussed in association with their crystal structure/morphology/composition. Advantages and benefits of nanostructuring (e.g., 2D MXenes) are highlighted. Prospects of future research trends in rational design of high‐performance TMCs and TMNs electrodes are provided at the end.