With the rapid development of the modern electronic and electrical industry, dielectric capacitors with higher energy storage capacity have become in urgent demand in the application market. Although polymer-based composites have great application potential due to their advantages of easy machining, good self-healing and low cost, their ability to store energy is nevertheless severely constrained by the negative relationship between the polymers' breakdown strength and permittivity. In this study, we designed sandwich-structured nanocomposites, where the interlayer is filled with 0.85K0.5Na0.5NbO3–0.15Bi(Zn2/3Ta1/3)O3 nanoparticles (KNN–BZT NPs) while the outer layer is P(VDF-HFP). The design of this structure resolves the contradiction between high breakdown strength (Eb) and dielectric constant (εr), making it a helpful tool for enhancing the energy storage performance. The experimental results show that when the filler content of KNN–BZT NPs is 0.6 vol%, the Eb reaches 565.44 MV m−1, and the maximum and residual electric displacement obtained are 10.43 μC cm−2 and 1.26 μC cm−2, respectively. Meanwhile, the optimal discharge energy density (Ud) and efficiency (η) are 21.39 J cm−3 and 70.54%, respectively. These values are 2.77 and 1.27 times higher than those of P(VDF-HFP). The sandwich-structured nanocomposites provide an economical and efficient strategy for increasing the ability of film capacitors to store energy.