<p>Dielectric capacitors are widely used in fields such as high-frequency pulse systems and communication due to their high power density. However, their energy storage density remains relatively low. Incorporation of core–shell structural fillers into the polymer matrix is a promising option for the development of high energy density energy storage materials. In this work, we employed polyvinylidene fluoride-hexafluoropropylene copolymer (PVDF-HFP) as a matrix, incorporating a ZnO@ZnS core–shell heterojunction filler to enhance the surface properties. The ZnO@ZnS heterojunction interface effectively suppresses and restricts carrier migration, creating an internal electric field at the interface that counteracts the applied electric field, thus enhancing the breakdown strength (<i>E</i>_<i>b</i>). The prepared composites possess an excellent energy storage density of about 4.18&#xa0;J/cm³ at a breakdown voltage of 349.1&#xa0;kV/mm when the filling amount is 2 wt.%, which is a 210% improvement over pristine PVDF-HFP. This work proposes an innovative and scalable approach for advancing polymer-based dielectric capacitors, offering enhanced energy storage capabilities.</p>