Phase change materials (PCMs) are widely regarded as one of the most promising thermal energy storage technologies, owing to their outstanding latent heat storage density and controllable thermal storage/release characteristics. However, pure PCM usually has certain limitations in terms of electric‐, photo‐, and magnetic‐thermal conversion. In recent years, research on enhancing these properties through the addition of various fillers has garnered widespread attention. Herein, this paper elaborates on the modification of PCM for electric‐thermal, photo‐thermal, and magnetic‐thermal conversion, including their respective modification strategies, properties, and applications. Therein, a comparative analysis is conducted on the electric‐, photo‐, and magnetic‐thermal conversion efficiency of PCM with different fillers. Further, a summary and analysis are conducted on the addition of some fillers to PCM, which simultaneously improves the conversion performance of the two or three mentioned above, enabling multiple energy conversion. Finally, existing problems, solutions, and future development directions are put forward.