Core-shell nanostructure represents a unique system for applications in electrochemical energy storage devices. Owing to the unique characteristics featuring high power delivery and long-term cycling stability, electrochemical capacitors (ECs) have emerged as one of the most attractive electrochemical storage systems since they can complement or even replace batteries in the energy storage field, especially when high power delivery or uptake is needed. This review aims to summarize recent progress on core-shell nanostructures for advanced supercapacitor applications in view of their hierarchical architecture which not only create the desired hierarchical porous channels, but also possess higher electrical conductivity and better structural mechanical stability. The core-shell nanostructures include carbon/carbon, carbon/metal oxide, carbon/conducting polymer, metal oxide/metal oxide, metal oxide/conducting polymer, conducting polymer/conducting polymer, and even more complex ternary core-shell nanoparticles. The preparation strategies, electrochemical performances, and structural stabilities of core-shell materials for ECs are summarized. The relationship between core-shell nanostructure and electrochemical performance is discussed in detail. In addition, the challenges and new trends in core-shell nanomaterials development have also been proposed.