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Abstract Film ferroelectrics demonstrate large breakdown strength, high energy density, and many unique phenomena not found in bulk materials. In this investigation, a rhombohedral BaZr0.2Ti0.8O3 (BZT) solid solution and various film‐substrate misfit strains are utilized to optimize the energy storage performance of ferroelectric thick films. Optical second harmonic generation is applied in both reflection and transmission geometries to reveal the renovation of entangled rhombohedral and tetragonal phases in the BZT films under compressive misfit strains. It is shown that the interfacial strain between the BZT film and substrate introduces the tetragonal domains. The competition between the tetragonal and rhombohedral phases creates the self‐assembled, anisotropically strained morphotropic structures to effectively accommodate the elastic and electrical stress fields through inside the thick BZT film. The BZT films demonstrate exceptional energy storage performance because of the adaptable nano‐domain structure within the bulk of the BZT films and may be engineered to optimize the superior performance of BZT films in energy storage.