The wood-based panel industry generates a significant amount of solid residues in its production activities, including medium-density fiberboard (MDF) molding manufacturing. These residues consist of fine fibers measuring between 0.15 mm and 1.19 mm in length. A large proportion of them currently needs to be utilized, mainly due to the problem of excessive accumulation. They can be reused as raw material for manufacturing new products by adopting a circular economy approach. Their thermal properties can also be enhanced by impregnating them with phase change materials (PCMs). This research aims to develop a process for impregnating MDF panel residues (R) with PCMs to obtain shape-stabilized compounds capable of storing thermal energy. Three different commercially available PCMs were used. They were incorporated in the MDF residues by vacuum impregnation. The morphology, chemical structure, thermal stability, and phase change properties of the compounds obtained were studied by scanning electron microscopy (SEM), Fourier-transform infrared (FTIR) spectrometry, thermogravimetric analysis (TGA), and differential scanning calorimetry (DSC), respectively. The SEM images indicated the PCM filled the empty spaces in the porous surface of the residue fibers to form shape-stabilized compounds. The FTIR spectrometry results indicated the compounds still exhibited characteristic peaks corresponding to both the MDF residues and the PCMs. No chemical reaction was observed between the two components. Moreover, according to the TGA results, the compounds produced exhibit high thermal stability. The R+PCM1 compound had the highest latent heat capacity of all the compounds developed in this study, reaching a maximum of 57.8 J⋅g−1, and a phase change temperature comparable to that of PCM1. This better thermal performance could be attributed to the compounds having a higher encapsulation ratio (31.4%) than the other compounds developed. Furthermore, the R+PCM1 compound had an absorption capacity of 142.8%. This study, therefore, unveiled a promising alternative for storing thermal energy and valorizing solid MDF residues.