Dielectric ceramic film capacitors, which store energy in the form of electric polarization, are promising for miniature pulsed power electronic device applications. For a superior energy storage performance of the capacitors, large recoverable energy density, along with high efficiency, high power density, fast charge/discharge rate, and good thermal/fatigue stability, is desired. Herein, we present highly dense lead-free 0.942[Na0.535K0.480NbO3]-0.058LiNbO3 (KNNLN) ferroelectric ceramic thick films (∼5 μm) demonstrating remarkable energy storage performance. The nanocrystalline KNNLN thick film fabricated by aerosol deposition (AD) process and annealed at 600 °C displayed a quasi-relaxor ferroelectric behavior, which is in contrast to the typical ferroelectric nature of the KNNLN ceramic in its bulk form. The AD film exhibited a large recoverable energy density of 23.4 J/cm3, with an efficiency of over 70% under the electric field of 1400 kV/cm. Besides, an ultrahigh power density of 38.8 MW/cm3 together with a fast discharge speed of 0.45 μs, good fatigue endurance (up to 106 cycles), and thermal stability in a wide temperature range of 20-160 °C was also observed. Using the AD process, we could make a highly dense microstructure of the film containing nano-sized grains, which gave rise to the quasi-relaxor ferroelectric characteristics and the remarkable energy storage properties.