This paper aims to study the limitations and performances of the main energy storage devices commonly used in energy harvesting applications, namely super-capacitors (SC) and lithium polymer (LiPo) batteries. The self-discharge phenomenon is the main limitation to the employment of SCs to store energy for a long time, thus reducing efficiency and autonomy of the energy harvesting system. Therefore, the analysis of self-discharge trends was carried out for three different models of commercial SCs, describing the phenomenon in terms of self-discharge rate and internal resistance. In addition, physical interpretations concerning the self-discharge mechanism based on the experimental data are provided, thus explaining the two super-imposed phenomena featured by distinct time constants. Afterwards, the dependence of self-discharge phenomenon from the charging time duration (namely, SCs charged at 5 V and then kept under charge for one or five hours) was analyzed; by comparing the voltage drop during the self-discharge process, a self-discharge reduction for longer charging durations was obtained and the physical interpretation provided (at best −6.8% after 24 h and −13.4% after 120 h). Finally, self-discharge trends of two commercial 380 mAh LiPo batteries (model LW 752035) were acquired and analyzed; the obtained results show an open circuit voltage reduction of only 0.59% in the first 24 h and just 1.43% after 124 h.