The multifunctional applications of nanomaterials in energy saving, electrochemical energy storage, and sensing devices are a current research trend. Novel Copper Magnesium Vanadate (CMV-CuMg2V2O8) nanoparticles have been synthesized by solution combustion method. The crystallite size calculated from XRD and TEM results was found to be 21 nm. The band gap estimated from UV–Vis DRS of CMV nanoparticles was found to be 3.82 eV. Its multifunctional applications were explored through for energy conversion, storage and sensing applications. Photocatalytic degradation of Acid Red-88 (AR-88) dye was conducted using CMV nanoparticles as photocatalyst under UV light. CMV nanoparticles modified carbon paste electrodes were prepared and its cyclic voltammetry (CV), Electrochemical impedence spectroscopy (EIS) and Galvanostatic charge–discharge (GCD) analysis were carried out using 1M KCl and NaOH electrolyte. With excellent specific capacitance of 266 Fg−1 in KCl electrolyte and 242 Fg−1 in NaOH electrolyte at 5 mV/s scan rate, CMV NPs was demonstrated to be a promising electrode material for supercapacitors. Electrochemical sensing analysis was carried out using the same electrode for the detection of paracetamol and ibuprofen within the range of 1–5 mM. The resulting copper magnesium vanadate nanoparticles have been verified as a possible electrode material for next-generation energy storage devices.