The serious interfacial issue between the inorganic filler and the organic matrix in the dielectric nanocomposite results in a low electric field breakdown strength (Eb) and low energy density (Ue). In this work, novel KxNa1–xNbO3@ZrO2 (KNN@ZO) nanosheets (NSs) were prepared by coating highly insulated ZO on the ferroelectric two–dimensional (2D) KNN NSs via a chemical precipitation method. As fillers, the KNN@ZO significantly improved the energy storage performances of poly (vinylidene fluoride) (PVDF)–polymethyl methacrylate (PMMA) blends. The highly insulated ZO shell restricts the carrier migration at the filler/polymer interface, thereby reducing the local electric field distortion. By sandwich structural design, a high Ue of 19.8 J/cm3, with a large difference of electrical displacement (8.5 μC/cm2), is measured in KNN@ZO/PVDF–PMMA with 5 % filler content at 528 MV/m. According to the finite element simulation, the 2D morphology and gradient structure can enhance the electric field distribution, and therefore effectively increase the Eb of nanocomposites. The results indicate that the 2D core–shell NSs fillers with gradient dielectric constant represent an effective approach to improve energy storage performance of the polymer–based nanocomposites.