Ceramic dielectric capacitors have attracted increasing interest due to their wide applications in pulsed power electronic systems. Nevertheless, synchronously achieving the high energy storage density, high energy storage efficiency and good thermal stability in dielectric ceramics is still a great challenge. Herein, lead free Sr₃SmNa₂Fe_0.5Nb_9.5O₃₀ (SSNFN) ceramic with tetragonal tungsten bronze structure was synthesized and characterized, high total energy storage density (2.1 J cm⁻³), recoverable energy storage density (1.7 J cm⁻³), energy storage efficiency (80%) and good thermal stability are obtained simultaneously in the compound, due to the contribution of high maximum polarization (P_max), low remanent polarization (P_r) and large breakdown strength (E_b). The high P_max is related with the intrinsic characteristic of Sr₄Na₂Nb₁₀O₃₀ (SNN) based system, while the small P_r and good thermal stability stem from the significantly enhanced relaxor behavior. In addition, the large E_b originates from the improved microstructure with fewer defects and decreased average grain size, and the reduction of electrical heterogeneity compared with SNN. The capacitive performance obtained in this work points out the great potential of tungsten bronze ceramic designed for energy storage applications and pave a feasible way to develop novel lead-free dielectric capacitors.