Thermal annealing treatments with different atmospheres (air, oxygen, and reducing atmospheres, respectively) were employed for the conventionally sintered (Ba0.4Sr0.6) TiO3 (BST) ceramics. The effect of thermal annealing on the energy storage properties of BST ceramics was investigated, where oxygen vacancies played an important role. The dielectric loss, bulk resistivity and dielectric break-down strength (BDS) were found to be sensitive to the annealing process, leading to the different energy densities in the range of 0.30-0.80 J/cm(3). Temperature dependent dielectric measurement and thermally stimulated depolarization current analysis were conducted to understand the impacts of oxygen vacancies on the macroscopic properties, which were found to be closely associated with the annealing conditions.