As a typical organic phase change material, paraffin occupies the large phase‐transition latent heat, promising electronic insulation, excellent cycling and chemical stability as well as the low corrosivity, which is attractive in the thermal management. In the practical applications, the surface of paraffin should be protected by organic or inorganic layers to inhibit the leakage above the melting point. However, in the reported paraffin composites, the weak cycling stability and the low thermal conductivity restricts their applications. In this paper, the highly thermal conductive hexagonal boron nitride nanosheets (hBNNS) are used as the protective layer for wrapping the paraffin in a microemulsion method to form the hBN‐paraffin thermal management composite, which exhibits the large phase‐transition latent heat ~189 J g−1, the excellent cycling stability over 20 cycles and the high thermal conductivity ~1.2 W m−1 K−1. The developed paraffin@ hBN composite should be promising for the thermal management in electronic packing, and can be used to improve the reliability of electric devices.