This paper makes a review for the studies of Space Energy Internet. Based on introducing the background of related networks, this paper discusses several key components of the Space Energy Internet (mainly including Space Solar Power Station, Energy Internet, and Artificial Intelligence Data Center), focusing on their corresponding system architectures, main research directions, and related technical challenges. Subsequently, supporting technologies such as discrete signal compression and coding, communication technology, energy transmission, power electronic devices, and artificial intelligence are discussed and analyzed. Furthermore, a highly integrated “data-computing-energy-networks” framework is established based on star computing networks and multi-orbital star link systems, and adopting the technologies like plug-and-play and modular design, which can support many innovative applications further.