PW–EG composite phase change materials (CPCMs) with varying expanded graphite (EG) mass fractions were prepared by vacuum adsorption, using EG as the matrix and paraffin wax (PW) as the phase change material (PCM). The optimal addition amount of EG was determined to be 20 wt% based on the enthalpy change and leakage performance of the CPCMs. At this optimal composition, the thermal conductivity of CPCM enhanced significantly from 0.348 to 6.003 W/(m·K). SEM analysis revealed effective adsorption of PW within the pores of EG, reducing the leakage rate of PW to below 2.0%. The DSC results showed that the melting temperature and solidification temperature of CPCM were 36.3 °C and 40.80 °C, respectively, with the corresponding latent heat of 113.2 J/g and 106.6 J/g, respectively. FT‐IR and XRD results confirmed that the interactions of PW and EG were primarily due to capillary action, demonstrating excellent chemical compatibility. The TG test results showed that using EG may improve heat resistance of PW, increasing the heat resistance limit temperature from 110 to 142 °C. After 200 thermal cycles, the CPCM exhibited satisfactory thermal properties, excellent structural integrity, and thermal stability, which will provide a great potential of PCM for thermal energy storage applications.