We report the poly(vinylidene fluoride-co-hexafluoropropylene) (PVdF-HFP)-based microporous polymer membranes, prepared by phase inversion technique, incorporated with different amounts of nanosized zirconium dioxide (ZrO₂) filler. Scanning electron microscopy, X-ray diffraction, Fourier transform infrared spectroscopy and thermal studies confirm the role of ZrO₂ nanofiller to modify the polymer structure, pore geometry and crystallinity. The nanofillers interact with the PVdF-HFP chains via surface groups and electrostatic interactions, and their incorporation led to an increase in crystalline content of the membrane and ionic conductivity (when activated with a liquid electrolyte (LE)). A possible mechanism for the increase in crystallinity in the polymer due to interaction with nanofiller particles has also been presented. The optimized membrane has been saturated with an LE sodium perchlorate-ethylene carbonate:propylene carbonate for use as a separator/electrolyte in electrical double-layer capacitor (EDLC). The cells fabricated with the nanofiller-incorporated membrane show better performance in terms of specific electrode capacitance, specific energy and specific power (approximately 76 F g⁻¹, approximately 20.9 Wh kg⁻¹ and 2.62 kW kg⁻¹) than the cells using the membrane devoid of nanofillers (approximately 61 F g⁻¹, approximately 17.3 Wh kg⁻¹ and approximately 3.16 kW kg⁻¹), respectively. The EDLC shows approximately 85% retention in specific capacitance for 10,000 charge–discharge cycles.