To better promote the development of lead-free dielectric capacitors with high energy-storage density and efficiency, we comprehensively review the latest research progress on the application to energy storage of several representative lead-free dielectric materials, including ceramics (ferroelectrics–relaxor ferroelectrics–antiferroelectrics), glass-ceramics, thin and thick films, and polymer-based composites. The results indicate that lead-free dielectric materials with large maximum polarization, high breakdown electric field, small remnant polarization, and slim polarization-electric field loops are more appropriate for developing dielectric capacitors with high energy density and efficiency. However, some significant drawbacks in current lead-free dielectric materials hinder the energy storage performance of these materials. Based on this, we review herein some new strategies to improve the energy-storage capacity of dielectric materials.