Next-generation advanced high/pulsed power capacitors urgently require dielectric materials with outstanding energy storage performance. Bi_0.5Na_0.5TiO₃-based lead-free materials exhibit high polarization, but the high remanent polarization and large polarization hysteresis limit their applications in dielectric capacitors. Herein, high-entropy perovskite relaxor ferroelectrics (Na_0.2Bi_0.2Ba_0.2Sr_0.2Ca_0.2)(Ti_1−x%Zr_x%)O₃ are designed by adding multiple ions in the A-site and replacing the B-site Ti⁴⁺ with a certain amount of Zr⁴⁺. The newly designed system showed high relaxor feature and slim polarization–electric (P–E) loops. Especially, improved relaxor feature and obviously delayed polarization saturation were found with the increasing of Zr⁴⁺. Of particular importance is that both high recoverable energy storage density of 6.6 J/cm³ and energy efficiency of 93.5% were achieved under 550 kV/cm for the ceramics of x = 6, accompanying with excellent frequency stability, appreciable thermal stability, and prosperous discharge property. This work not only provides potential dielectric materials for energy storage applications, but also offers an effective strategy to obtain dielectric ceramics with ultrahigh comprehensive energy storage performance to meet the demanding requirements of advanced energy storage applications.