Thermal energy storage based on phase change materials (PCMs) can improve the efficiency of energy utilization by eliminating the mismatch between energy supply and demand. It has become a hot research topic in recent years, especially for cold thermal energy storage (CTES), such as free cooling of buildings, food transportation, electronic cooling, telecommunications cooling, etc. This paper summarizes the latest research progress of the PCMs-based CTES. Firstly, the classification of PCMs for low temperature storage is introduced; the thermal physical properties (e.g., phase change temperature (PCT) and latent heat) of suitable PCM candidates (−97 to 30 °C) for CTES are summarized as well. Secondly, the techniques proposed to enhance the thermal properties of PCMs are presented, including the addition of nanomaterials, the microencapsulation and the shape stabilization. Finally, several representative applications (−97 to 65 °C) of PCMs in different CTES systems are discussed. The present review provides a comprehensive summary, systematical analysis, and comparison for the PCMs-based CTES systems, which can be helpful for the future development in this field.