In this study, a novel form-stable phase change material (FSPCM) consisting of calcination iron tailings (CIT), capric acid (CA), and carbon nanotubes (CNT) was prepared using a simple direct melt impregnation method, and a series of tests have been carried out to investigate its properties. The leakage tests showed that CA can be retained in CIT with a mass fraction of about 20 wt.% without liquid leakage during the phase change process. Moreover, the morphology, chemical structure, and thermal properties of the fabricated composite samples were investigated. Scanning electron microscope (SEM) micrographs confirmed that CIT had a certain porous structure to confine CA in composites. According to the Fourier transformation infrared spectroscope (FTIR) results, the CA/CIT/CNT FSPCM had good chemical compatibility. The melting temperature and latent heat of CA/CIT/CNT by differential scanning calorimeter (DSC) were determined as 29.70 • C and 22.69 J/g, respectively, in which the mass fraction of CIT and CNT was about 80 wt.% and 5 wt.%, respectively. The thermal gravity analysis (TGA) revealed that the CA/CIT/CNT FSPCM showed excellent thermal stability above its working temperature. Furthermore, the melting and freezing time of CA/CIT/CNT FSPCM doped with 5 wt.% CNT reduced by 42.86% and 54.55% than those of pure CA, and it showed better heat transfer efficiency. Therefore, based on the above analyses, the prepared CA/CIT/CNT FSPCM is not only a promising candidate material for the application of thermal energy storage in buildings, but it also provides a new approach for recycling utilization of iron tailings.