Due to unique and excellent properties, carbon nanotubes (CNTs) are expected to become the next-generation critical engineering mechanical and energy storage materials, which will play a key role as building blocks in aerospace, military equipment, communication sensing, and other cutting-edge fields. For practical application, the assembled macrostructures from individual CNTs are the common paradigms such as fibers or films. As the main representative, CNT films can not only retain the unique properties of their CNTs components, but also are more likely for mass-production than other macrostructures. Therefore, in this review, we focus on preparation of CNT films and discuss their emerging applications in the field of mechanical and electrochemical energy storage/conversion. Firstly, different preparation processes are systematically summarized. Then we introduce some typical strategies to improve their mechanical performances besides strengthening mechanism. Based on the progress of mass-production and performance optimization, we further discuss their potential utilization in mechanical and electrochemical energy storage/conversion devices. Finally, future perspectives for the development of CNT films in both production and application are proposed. We hope that this review will shed light on the preparation/assembly of CNT films and integrated application of excellent properties from individual to macroscopic dimensions. Moreover, the preparation and cross-scale application paradigms of CNT films also offer a good model for other macroscopic ordered assemblies of one-dimensional nanomaterials.