With the gradual exposure of energy problems and environmental pollution in modern society, electrochromic energy storage devices with the integration of smart windows and energy storage have become research hot spots in recent years. The multifunctional devices can be used as energy storage devices, and can also monitor the energy status in situ according to the color change. In this review, we introduce the working principle, device structure, and the possibility of the multi-functional combination of electrochromic energy storage devices. We also discuss, in detail, the candidate materials for electrochromic capacitors and electrochromic batteries in terms of design, synthesis, and application. Finally, we provide our own opinion on the development of the next generation multi-functional energy storage devices.