In this study, we report the effects of AlN additives on the microstructure and energy performance of 0.88(Bi0.4Ba0.2Na0.2K0.2)TiO3-0.12Sr(Mg1/3Nb2/3)O3 high-entropy relaxor ceramics. We show that AlN partially reacts with/dissolves into the matrix and only forms a secondary phase when its concentration is above a threshold. AlN doping can only affect the shape of the P-E loop and improve the breakdown strength when it formed the secondary phase. The breakdown strength first increased and then decreased with increasing AlN concentration. When the AlN concentration is 6 mol%, the ceramic has the optimal energy storage performance with a breakdown electric field of 340 kV/cm, a recoverable energy density of 3.85 J/cm3, and an efficiency of 85.8%. The study suggests that the addition of AlN is an effective way to improve the energy storage performance of high-entropy ceramics.