Solid–solid phase change materials (SSPCMs) are among the most promising candidates for thermal energy storage and management. Excellent shape stability, high heat storage capacity, and satisfying mechanical properties are essential for the practical applications of SSPCMs, yet giving PCMs these characteristics at the same time remains an unmet challenge. Herein, the synthesis of PEG‐PVEG copolymers is reported with various vinyl content using a synergistic catalysis strategy, leading to novel cross‐linked PEG‐based SSPCMs via a thiol‐ene photo‐crosslinking reaction. These PCMs exhibit excellent shape stability and remarkable energy storage capabilities with latent heat up to 128.3 J g−1. The materials exhibit exceptional thermal stability and retain their energy storage capacity after 500 heating‐cooling cycles. Notably, the materials show superior mechanical strength and excellent toughness. Furthermore, the latent heat enthalpy can be further improved to 146.8 J g−1 without erosion of shape stability by the encapsulation of PEG into present SSPCM. The enhancement of both thermal and electrical conductivities is also demonstrated by the phase change composites (PCCs) incorporating multi‐walled carbon nanotubes (MWCNTs). Overall, this study presents a convenient and feasible strategy for developing SSPCMs with excellent shape stability, high latent heat and satisfying mechanical properties for thermal management.