Since recently, lead-free dielectric ceramics have garnered significant interest for their high-power density and rapid charge-discharge capabilities. Nonetheless, their practical application is still limited by relatively low energy storage density and efficiency. To address this issue, a new class of relaxor ferroelectric ceramics ((1-x)(Bi0.5Na0.5)0.7Sr0.3TiO3-xCa(Nb0.5Al0.5)O3, with x from 0.00 to 0.16) was formulated and synthesized in the present work using a solid-state reaction method. Special attention was paid to the effect of multiscale structure regulation on the energy storage properties of the ceramics. All ceramics exhibited the relaxor characteristics, which increased with the added content of Ca(Nb0.5Al0.5)O3 (CNA). Significant achievements have been made in multi-scale regulation of energy storage characteristics of these ceramics. In particular, the ultrahigh energy storage density and efficiency (10.15 J/cm3 and 86.2 %, respectively) were realized in the ceramic with x = 0.14. This optimized composition also displayed good temperature stability at 20–140 °C and excellent frequency stability in the range of 1–200 Hz. Furthermore, the outstanding charge and discharge characteristics (current density CD, power density PD, and discharge time t0.9 of 1257 A/cm2, 377 MW/cm3, and 45.8 ns, respectively) were obtained. The experimental study, finite element analysis, and first-principles calculations confirmed that the multiscale features, such as nano-scale domains, large band gap, and small grain size, promoted by the addition of CNA, are all beneficial for the improvement of energy storage performance, opening up new prospects in the application of advanced dielectric capacitors.