Organic−inorganic composite phase change materials (PCMs) are promising in the fields of solar energy storage and building thermal management. However, combining inorganic with organic PCMs meets a great challenge. In the current work, a shape-stable hybrid emulsion gel (EGel/GO) is developed via Pickering emulsion polymerization, which seamlessly combines sodium acetate trihydrate (SAT) in the water phase with paraffin wax (PW) in the oil phase. The polymer dual-phase cross-linking in EGel/GO forms a supporting framework that effectively enhances the material's shape stability, slows the loss of crystalline water in hydrates, and reduces supercooling. The addition of graphene oxide (GO) enhances EGel/GO-0.5's optical absorption properties, resulting in photothermal conversion efficiency as high as 89.1%. Furthermore, EGel/GO not only has high latent heat of 225.08 J/g but also has almost no leakage and no phase separation. The Pickering emulsion polymerization method paves a broad avenue for combining organic with inorganic PCMs, which is an ideal choice for the effective utilization of solar energy and building energy storage.