Enhancing the energy storage properties of dielectric polymer capacitor films through composite materials has gained widespread recognition. Among the various strategies for improving dielectric materials, nanoscale coatings that create structurally controlled multiphase polymeric films have shown great promise. This approach has garnered considerable attention in recent years due to its effectiveness. This review examines surface-coated polymer composites used for dielectric energy storage, discussing their dielectric properties, behaviors, and the underlying physical mechanisms involved in energy storage. The review thoroughly examines the fabrication methods for nanoscale coatings and the selection of coating materials. It also explores the latest advancements in the rational design and control of interfaces in organic–inorganic, organic–organic, and heterogeneous multiphase structures. Additionally, the review delves into the structure–property relationships between different interfacial phases and various interface structures, analyzing how nanoscale coatings the impact dielectric constant, breakdown strength, conduction and charge transport mechanisms, energy density and efficiency, thermal stability, and electrothermal durability of polymeric capacitor films. Moreover, the review summarizes relevant simulation methods and offers computational insights. The potential practical applications and characteristics of such nanoscale coating techniques are discussed, along with the existing challenges and practical limitations. Finally, the review concludes with a summary and outlook, highlighting potential research directions in this rapidly evolving field.