Covalent organic frameworks (COFs) as an emerging class of crystalline porous materials have received much attention due to their tunable porosity, modifiable skeletons, and atomically precise structures. Besides, COFs can provide multiple high-rate charge carrier transport (electron, hole, and ion) pathways, including conjugated skeletons, overlapped π electron clouds among the stacked layers, and open channels with a variable chemical environment. Therefore, they have shown great potential in electrochemical energy storage (EES) and conversion (EEC). However, in bulk COFs, the defects always impede charge carrier conduction, and the difficulties in reaching deep-buried active sites by either electrons or ions lead to limited performance. To overcome these obstacles, numerous research studies have been carried out to obtain COF nanosheets (NSs). This review first describes the preparation strategies of COF NSs via bottom-up and top-down approaches. Then, the applications of bulk COFs and COF NSs in EES and EEC are summarized, such as in batteries, supercapacitors, and fuel cells. Finally, key challenges and future directions in these areas are discussed.