Dielectric capacitors have been the major enabler for many applications in advanced electronic and electrical power systems because of their capability for ultrafast charging/discharging and ultrahigh power density. The low energy densities of polymer dielectrics used in these capacitors have not been able to meet the ever-increasing demands for compact, reliable, and efficient electrical power systems. Polymer nanocomposites, in which high-dielectric-constant (k) nanofillers are incorporated in the polymer matrix, have been actively pursued. In this article, we begin with two theoretical considerations for concomitantly increasing the dielectric permittivity and breakdown strength of nanocomposites: critical interfacial polarization and local electric-field distribution. In the framework of these considerations, we review recent progress toward polymer nanocomposites with high energy densities based on two approaches: core-shell-structured polymer nanocomposites and dielectric anisotropy. In addition, the potential for the enhanced elastic properties of nanocomposites to improve the dielectric strengths of capacitor films is also discussed.