Environmentally friendly high-performance dielectric capacitors are urgently required for clean energy and advanced pulse equipment. In this study, a high-entropy strategy was adopted to design (1−x)(K1/2Na1/2)NbO3-xBi(Mg1/3Zn1/3Ta1/3)O3 (KNN-BMZT) ceramics for energy storage applications. The phase compositions, dielectric properties, and energy storage performances of the KNN-BMZT ceramics were explored. The results demonstrated that all the ceramic samples exhibited a single perovskite phase with a pseudo-cubic structure and compact microstructure. More importantly, the addition of BMZT increased the disorder and configurational entropy, resulting in the formation of KNN-based high-entropy relaxor ferroelectrics. Moreover, 0.84KNN–0.16BMZT ceramic demonstrated the optimal energy storage performance, exhibiting a recoverable energy density (Wrec) of 2.72 J/cm3 and an energy storage efficiency (η) of 81.77% when an electric field of 335 kV/cm was applied. Furthermore, this ceramic exhibited an excellent temperature stability (30–135 °C) and frequency insensitivity (10–500 Hz). These results demonstrate that the 0.84 KNN–0.16 BMZT ceramic is a promising candidate for dielectric energy storage applications.