Phase‐change materials (PCMs) have become a hot spot in the development of modern thermal management materials because of their absorbing and releasing heat while keeping the temperature constant during phase change process. However, their relatively low thermal conductivity (TC) considerably restricts their further application. In this work, graphene nanosheets (GNS) were initially nickel‐plated to increase the contact area between adjacent GNS (in the form of Ni@GNS) by constructing a “point‐surface” structure. Then, the prepared Ni@GNS was coated with polydopamine (PDA) to prepare PDA‐Ni@GNS, which helped to effectively reduce the interface thermal resistance (ITR) between the filler and the matrix, and also made the prepared filler more easily dispersed in the polymer matrix. By constructing well‐defined three‐dimensional (3D) thermally conductive pathways in the matrix, the PCMs exhibited excellent TC and effectively prevented the leakage of polyethylene glycol (PEG) even at low filler loading. The results of thermogravimetry (TG), differential scanning calorimeter (DSC), and cyclic DSC tests jointly showed that the PDA‐Ni@GNS/CNF‐C/SA/PEG PCMs displayed excellent thermal storage properties, high latent heat as well as good cyclic thermal stability. The present study provides a facile way of preparing PEG‐based PCMs, which are applicable in thermal management area.