Phase change materials have garnered extensive interest in heat harvesting and utilization owing to their high energy storage density and isothermal phase transition. Nevertheless, inherent leakage problems and low heat storage efficiencies hinder their widespread utilization. Nature has served as a great source of inspiration for addressing these challenges. Natural strategies are proposed to achieve advanced thermal energy management systems, and breakthroughs are made in recent years. This review focuses on recent advances in the structural design and functions of phase change materials from a natural perspective. By highlighting the structure-function relationship, advanced applications including human motion, medicine, and intelligent thermal management devices are discussed in detail. Finally, the views on the remaining challenges and future prospects are also provided, that is, phase change materials are advancing around the biomimicry design spiral.