The development of low-cost energy storage materials and the high-value utilization of fly ash are two major challenges that need to be addressed in the field of renewable energy. This work proposes an alkaline hydrothermal treatment method suitable for fly ash modification and prepares a porous bamboo leaf-like structured supporting material for encapsulating polyethylene glycol (PEG) phase change components. The results show that the prepared modified fly ash-based thermal storage material has an excellent latent heat performance, reaching 103.9 J/g, which is 2.24 times that encapsulated by ordinary fly ash. Meanwhile, the thermal conductivity of the modified composites is increased by 48.6%. After 100 heat storage/release cycles, the latent heat value of PEG/MFA decreases by only 0.028%. The reason is that the bamboo leaf-like structure of the modified fly ash support material provides a larger specific surface area. At the same time, the interaction between the support material and PEG promotes the effective adsorption and filling of the PEG phase change material. Leakage tests show that the maximum filling amount of PEG in the composite is 65 wt %. Furthermore, the prepared phase change heat storage material shows a good temperature regulation ability in simulated environment applications. This work sheds light on developing effective disposal of solid waste in power plants and its applications in the field of energy storage.