Dielectric energy storage materials as "the blood of modern industry" are the key components of various pulse power electronic systems. These materials are attracted extensive attentions because of the high dielectric constant, low loss, high power density, fast charge/discharge speed and excellent reliability. However, dielectric materials for multi-fields applications still have some problems, such as low energy storage density, poor efficiency. Therefore, improving the energy storage performances of dielectric materials becomes one of the research hotspots in recent years. This review represented the performance advantages of inorganic dielectric energy storage materials, summarized the energy storage principle and the main parameters of energy storage performance, and analyzed the energy storage performance of linear dielectrics, relax or ferroelectrics and antiferroelectrics from the viewpoint of component design and multiple material forms (i.e., ceramics, films and multilayer ceramic capacitors). The performance control methods and enhancement mechanisms from the aspects of material composition, structure and preparation technology were discussed. Finally, the opportunities and challenges for inorganic dielectric energy storage materials were given, and the development trend for pulse power capacitors in the future was prospected.