Phase‐change materials (PCMs) play a key role in thermal energy storage owing to their high‐energy storage density and small temperature fluctuation during the phase‐transition stage. Polymers, either as a supporting material to prevent liquid leakage during the phase‐change process or used with specific target, have been widely recognized in the fabrication of PCM composites. In the meantime, due to the continued demand for variety of PCMs, a single thermal energy storage function seems to be insufficient to meet these needs. Thanks to the good compatibility with PCMs and the structural adjustable properties of polymers, they have been broadly used as the second component in the multifunctional PCMs composite. In this Review, strategies for multifunctional PCMs supported by polymers and their potential energy applications, such as thermal energy harvesting and storage, shape memory, wearable devices, self‐cleaning, and other forms of applications, are summarized comprehensively. The future research directions and challenges of multifunctional PCMs with polymers are also discussed.