Dielectric ceramic capacitors present high output power density due to the fast energy charge and discharge nature of dielectric polarization. By forming dense ceramic films with nano-grains through the Aerosol Deposition (AD) process, dielectric ceramic capacitors can have high dielectric breakdown strength, high energy storage density, and leading to high power density. Dielectric capacitors fabricated by AD process are expected to meet the increasing demand in applications that require not only high energy density but also high power output in a short time. This article reviews the recent progress on the dielectric ceramic capacitors with improved energy storage properties through AD process, including energy storage capacitors based on both leadbased and lead-free dielectric ceramics.