Advanced electrochemical energy storage devices (EESDs) that can store electrical energy efficiently while being miniature/flexible/wearable/load-bearing are much needed for various applications ranging from flexible/wearable/portable electronics to lightweight electric vehicles/aerospace equipment. Carbon-based fibers hold great promise in the development of these advanced EESDs (e.g., supercapacitors and batteries) due to their being lightweight, high electrical conductivity, excellent mechanical strength, flexibility, and tunable electrochemical performance. This review summarizes the fabrication techniques of carbon-based fibers, especially carbon nanofibers, carbon-nanotube-based fibers, and graphene-based fibers, and various strategies for improving their mechanical, electrical, and electrochemical performance. The design, assembly, and potential applications of advanced EESDs from these carbon-based fibers are highlighted. Finally, the challenges and future opportunities of carbon-based fibers for advanced EESDs are discussed.