Using phase change materials (PCMs) in building envelopes became a reliable method to improve indoor comfort and reduce buildings’ energy consumption. This research developed molecular-bridged expanded graphite (EG)/polyethylene glycol (PEG) composite PCMs (m-EPs) to conserve energy in buildings. The m-EPs were prepared through a vacuum absorption technique, and a titanate coupling agent was used to build a molecular bridge between EG and PEG. SEM, mercury intrusion porosimetry (MIP), the leakage test, microcalorimetry, X-ray photoelectron spectroscopy (XPS), and Fourier transform infrared spectroscopy (FT-IR) were conducted to characterize the morphology, pore structure, absorbability, and modifying effects of the m-EPs. The phase change temperature, latent heat, thermal stability, and thermal conductivity of the m-EPs were determined by a differential scanning calorimeter (DSC), TGA, and a thermal constants analyzer. Results showed that the maximum mass ratio of PEG to EG without leakage was 1:7, and a stable connection was established in the m-EPs after modification. Compared with the unmodified EPs, the supercooling degree of the m-EPs reduced by about 3 °C, but the latent heats and initial decomposition temperatures increased by approximately 10% and 20 °C, respectively, which indicated an improvement in the thermal energy storage efficiency. The thermal conductivities of the m-EPs were 10 times higher than those of the pristine PEGs, which ensured a rapid responding to building temperature fluctuations.