Nickel metal foams serve as both a substrate and bottom electrode for a dielectric capacitor using atomic‐layer deposition (ALD) and a eutectic gallium–indium (EGaIn) liquid metal (LQM) counter electrode. The conformal dielectric has a composition of 6.25% Al–HfO2 in the antiferroelectric phase, confirmed with polarization versus electric field measurements. Liquid EGaIn is pressure‐infiltrated within the coated foams to form the dielectric capacitor. Capacitances up to 4 μF are realized. Calorimetry of the infiltrated capacitor shows a 60 J g−1 latent heat upon melting a frozen EGaIn electrode, suggesting that the phase change can alleviate thermal deviations from pulsed power capacitor operation. Infiltrated capacitors are also shown to survive bending and freeze–thaw cycles. The metal foam–ALD dielectric–LQM capacitor shows a combined set of thermal and electrical properties not available in other classes of capacitors.