Designing high-performance nanostructured electrode materials is the current core of electrochemical energy storage devices. Multi-scaled nanomaterials have triggered considerable interest because they effectively combine a library of advantages of each component on different scales for energy storage. However, serious aggregation, structural degradation, and even poor stability of nanomaterials are well-known issues during electrochemically driven volume expansion/contraction processes. The confinement strategy provides a new route to construct controllable internal void spaces to avoid the intrinsic volume effects of nanomaterials during the reaction or charge/discharge process. Herein, we discuss the confinement strategies and methods for energy storage-related electrode materials with a one-dimensional channel, two-dimensional interlayer, and three-dimensional space as reaction environments. For each confinement environment, the correlation between the confinement condition/structure and the behavioral characteristics of energy storage devices in the scope of metal–ion batteries (e.g., Li-ion, Na-ion, K-ion, and Mg-ion batteries), Li–S batteries (LSBs), Zn–air batteries (ZIBs), and supercapacitors. Finally, we discussed the challenges and perspectives on future nanomaterial confinement strategies for electrochemical energy storage devices.