A series of (Ba0.2Sr0.2Na0.2Ca0.2La0.2)(ZrxTi1‐x)O3 (BSNCLZxT1‐x) (x = 0, 0.05, 0.1, 0.15, and 0.2) high‐entropy ceramics were prepared in forms of bulks and thin films by conventional sintering and spin‐coating, respectively. All ceramic bulks and thin films are composed of a single perovskite‐structured solid solution. The introduction of the Zr element reduces the dielectric loss of bulks and thin films and improves the frequency stability of the dielectric constant. The ceramic bulks have a higher dielectric constant and lower loss than their corresponding thin films. As x rises from 0 to 0.2, the breakdown strength Eb of the ceramic bulks increases from 209 to 327 kV/cm, and that of thin films enhances from 890 to 1770 kV/cm. The bulks and thin films of BSNCLZ0.1T0.9 possess the maximum recoverable energy density Wrec (0.82 and 3.48 J/cm3) and energy storage efficiency η (95.8% and 86.8%).