This review covers recent developments in advanced analytical techniques to characterize materials for electrochemical capacitors. For double layer capacitors, examples of the use of in situ X-ray photoelectron spectroscopy (XPS), pulsed electrochemical mass spectrometry (PEMS) technique, temperature-programmed desorption coupled with mass spectroscopy (TPD-MS) technique, in situ NMR spectroscopy, and in situ dilatometry measurement are presented, for studying carbon/electrolyte interface with a focus onto electrolyte ions confinement in nanopores and changes during ageing. For the pseudocapacitive system, in situ X-ray (neutron) diffraction or scattering, in situ dilatometry technique, cavity micro-electrode, in situ Raman spectroscopy, TPD-MS technique, and electrochemical quartz crystal microbalance (EQCM) technique have been employed for studying materials structure, electrochemical kinetic, interface interaction, and ions adsorption/desorption. These advanced analytical techniques probe insight into charge storage mechanisms, and guiding the fast development of supercapacitors.