Phase Change Materials (PCMs) are utilized to regulate temperature and store thermal energy in various industries such as infrastructure, electronics, solar power, and more. However, they face several limitations, such as leakage, poor thermal properties, incompatibility, as well as high flammability. Polyethylene (PE) is one of many polymers explored to enhance the desirable properties of PCMs, due to their versatile properties such as high strength, durability, chemical resistance, and low cost. The combination of PCMs and PE can be used to create composite materials, through micro/nano-encapsulation, melt-blending, formation of composites and with proper additives. They create enhanced thermal energy storage properties and in the meantime, benefited from the mechanical properties of the PE. This review provides a concise summary of the recent developments regarding PE-enhanced PCMs and provides insights into possible topics for further investigation. We summarised enhancement methods based on commonly adopted types of PEs, such as encapsulation, melt-blending, hot pressing, extrusion, and 3D printing. We then elaborate on how these PE-PCM composites are effectively utilised for heat management applications and the potential future directions in energy-saving buildings, electronic devices, and energy storage systems.