The poly(vinylidene fluoride-trifluoroethylene) (P(VDF-TrFE)) based ferroelectric and relaxor materials have been proved to be good electrocaloric (EC) materials. To further enhance the EC effect in ferroelectric relaxor terpolymer poly(vinylidene fluoride–trifluoroethylene-chlorofluoroethylene) (P(VDF-TrFE-CFE)), composites such as polymer-polymer blends and nanocomposites filled with inorganic nanoparticles are fabricated and investigated. It is found that the addition of small amount of filler (such as P(VDF-TrFE) or nano-ZrO2) can increase terpolymer’s crystallinity and enhance its relaxor behavior through interface couplings. The increased crystallinity and enhanced relaxor behavior together result in enhanced electrocaloric effect. The results demonstrate the promise of composite approaches in tailoring and enhancing ECE in the relaxor terpolymers.