The high-temperature composite phase change materials (HCPCMs) were prepared from solid waste blast furnace slag (BFS) and NaCl-KCl binary eutectic salt to achieve efficient and cost-effective utilization. To ensure good chemical compatibility with chlorine salt, modifier fly ash (FA) was incorporated and subjected to high-temperature treatment for the processing of industrial solid waste BFS, which possesses a complex chemical composition. The HCPCMs were synthesized through a three-step process involving static melting, solid waste modification, and mixing–cold pressing–sintering. Then, the influence of the modification method and the amount of SiC thermal conductivity reinforced material on chemical compatibility and thermodynamic performance was explored. The results demonstrate that the predominant phase of the modified solid waste is Ca2Al2SiO7, which exhibits excellent chemical compatibility with chlorine salt. HCPCMs containing less than 50 wt.% chloride content exhibit good morphological stability without any cracks, with a melting temperature of 661.76 °C and an enthalpy value of 108.73 J/g. Even after undergoing 60 thermal cycles, they maintain good chemical compatibility, with leakage rates for melting and solidification enthalpies being only 6.3% and 0.23%, respectively. The equilibrium was achieved when 40 wt.% of chloride salt was encapsulated upon the addition of 10% of SiC, and the incorporation of SiC resulted in an enhancement of thermal conductivity for HCPCMs to 2.959 W/(m·K) at room temperature and 2.400 W/(m·K) at 200 °C, with an average increase of about 2 times. The cost of the prepared HCPCMs experienced a significant reduction of 81.3%, demonstrating favorable economic performance and promising prospects for application. The research findings presented in this article can offer significant insights into the efficient utilization of solid waste.