Polymer nanocomposite dielectrics, composed of polymer matrices with high breakdown strength and nanofillers with high dielectric constant, can achieve outstanding energy density. However, the great difference of intrinsic surface properties between the polymer and nanofillers will lead to poor compatibility and thus damage the dielectric properties of the composites. Introducing a transition layer to the filler surface can effectively reduce the degree of mismatch. In this work, we use a “direct in situ polymerization” method to synthesize core–shell BaTiO3 nanoparticles (BTO_nps) with three types of stable and dense fluoro-polymer shells, e.g., poly(2,2,2-trifluoroethyl methacrylate) (PTFEMA), poly(2,2,3,4,4,4-hexafluorobutyl methacrylate) (PHFBMA), and poly(1H,1H,7H-dodecafluoroheptyl methacrylate) (PDFHMA), and individually disperse them into the poly(vinylidene fluoride-co-hexafluoro propylene) (P(VDF-HFP)) matrix. Benefitting from the good interaction between the fluorine-containing segments in the shell polymer and the matrix segments, the dispersion of core–shell BTO_nps and their compatibility with P(VDF-HFP) are improved, which leads to a significant improvement in the dielectric properties of the nanocomposites. The results show that BTO@PDFHMA/P(VDF-HFP) composite exhibits an ultrahigh energy density of 16.8 J cm−3 at 609 MV m−1 with particle loading amount of 15 wt%, compared to 11.5 J cm−3 at 492 MV m−1 for a conventional solution blended BTO/P(VDF-HFP) composite. Meanwhile, the discharge efficiency is enhanced from ∼62 to ∼78%. It is elucidated that the core–shell strategy can achieve improved particle dispersion and dielectric properties. We consider that this simple method can well achieve the preparation of core–shell structures in dielectric nanocomposites.