Expanded graphite (EG) has been used to store phase change materials (PCM) to enhance thermal conductivity and avoid leakage. However, systematic investigation on physical structure of various embedded PCMs in EG is not reported. Besides, the effect of environment on thermal behavior of PCM/EG composites has not been investigated yet. In this work, three common PCMs (including myristic acid (MA), polyethylene glycol (PEG) and paraffin wax (PW)) were embedded in EG and three PCM/EG composites were obtained. As a result, capillary force between EG and PCMs supported encapsulation of PCMs in EG. PCM/EG composites had narrower phase change range while supercooling degree values were different when various PCMs were used. Besides, the hot and humid environment had a side effect on thermal energy storage of PCMs and PCM/EG composites. The inherent hydrophilicity of PCMs was essential for resistance against side effect of moisture on thermal energy storage.