For twenty years, researchers have investigated nanodielectric composites to advance their dielectric properties toward practical applications in capacitors and electrical insulation. Novel concepts are highly anticipated to enhance dielectric strength and energy density while suppressing dielectric loss and the mechanism behind it. In this work, the authors introduce an uncustomary atomic layer deposition (ALD) method to construct the core–shell heterostructure of BaTiO3 nanoparticles. Three different shell materials feature different thermal conductivity and dielectric permittivity. For the first time, the dilute nanofillers fabricated with the ALD technique incorporated in a polyetherimide film simultaneously enhanced the dielectric strength and dielectric constant of the composites. A comparative study on three core–shell designs (BaTiO3@Al2O3, BaTiO3@AlN, BaTiO3@TiO2) revealed the favorable role of higher thermal conductivity (321 W m−1 K−1 for AlN and 25 W m−1 K−1 for Al2O3) in enhancing the dielectric strength of the PEI film as well as inferior lossy behavior induced by the TiO2 shell under high electric fields. The considerable progress witnessed in energy storage performance is further justified by a finite element simulation that reveals the positive effects of the core–shell particles on polarization and energy density distribution across the interfaces. This methodology not only results in a uniform shell distribution and adjustable thickness but also provides an inclusive potential for coating various oxides or nitrides.