Dielectric polymer nanocomposites are rapidly emerging as novel materials for a number of advanced engineering applications. In this Review, we present a comprehensive review of the use of ferroelectric polymers, especially PVDF and PVDF-based copolymers/blends as potential components in dielectric nanocomposite materials for high energy density capacitor applications. Various parameters like dielectric constant, dielectric loss, breakdown strength, energy density, and flexibility of the polymer nanocomposites have been thoroughly investigated. Fillers with different shapes have been found to cause significant variation in the physical and electrical properties. Generally, one-dimensional and two-dimensional nanofillers with large aspect ratios provide enhanced flexibility versus zero-dimensional fillers. Surface modification of nanomaterials as well as polymers adds flavor to the dielectric properties of the resulting nanocomposites. Nowadays, three-phase nanocomposites with either combination of fillers or polymer matrix help in further improving the dielectric properties as compared to two-phase nanocomposites. Recent research has been focused on altering the dielectric properties of different materials while also maintaining their superior flexibility. Flexible polymer nanocomposites are the best candidates for application in various fields. However, certain challenges still present, which can be solved only by extensive research in this field.