Soft materials such as carbon materials, polymers and macromolecules possess rich functional groups and have become an important research filed in material science and engineering but they lack high durability and mechanical rigidity. Hard structures can provide stable and rigid scaffolds as well as hierarchically porous structures for superior physical properties; however, they often suffer from relatively poor surface chemistry. Construction of soft materials functionalized hard structures often generates new composite materials with unique physico-chemical properties for synergistically boosting high-efficient energy conversion/storage and biosensing. In this review, starting with introduction of fundamentals and properties of soft materials and hard structures, advances in fabrications and characterizations of the composite materials are discussed. The excellent physico-chemical and electrochemical properties of the soft materials-built and functionalized composite materials as well as their applications as electrode materials in solar cells, fuel cells, electrochemical water splitting, lithium-ion batteries/lithium-sulfur batteries/supercapacitors, and in situ molecular biosensing for greatly improved performance are surveyed. The performance enhancement mechanisms in these electrochemical systems are discussed to elicit fundamental insights. The challenges and prospects of this research area are also deliberated to inspire future improvements.