0.8Sr0.875Pb0.125TiO3–0.2Bi(Mg0.5Zr0.5)O3–x(K0.5Na0.5)NbO3 (0.8SPT–0.2BMZ–xKNN, x = 0.015–0.035) ceramics are calcined by solid-state methods. The phase structures, energy storage, and discharge performance, as well as their temperature stability, are systematically investigated. All samples are verified as a single perovskite structure by X-ray diffraction (XRD) results. The x = 0.03 ceramic possesses excellent temperature stability, meeting the X7R standard for pulsed power capacitors. According to P–E loops calculation, the recoverable energy storage density (W rec) and efficiency (η) are 1.27 J cm−3 and 90% at 240 kV cm−1, respectively. Moreover, W rec and η also have good temperature insensitivity over a wide temperature range from 30 to 150 °C. The x = 0.03 ceramic has a high discharge energy density of ≈2.05 J cm−3 and a large power density of ≈143 MW cm−3 at 300 kV cm−1. The excellent temperature insensitivity and large discharge energy density exhibit that the x = 0.03 sample is a potential candidate material for pulsed power capacitors with a wide temperature range.