This paper describes the preparation of new PEG6000–silica-MWCNTs composites as shape-stabilized phase change materials (ssPCMs) for application in latent heat storage. An innovative method was employed to obtain the new organic–inorganic hybrid materials, in which both a part of the PEG chains, used as the phase change material, and a part of the hydroxyl functionalized multiwall carbon nanotubes (MWCNTs-OH), used as thermo-conductive fillers, were covalently connected by newly formed urethane bonds to the in-situ-generated silica matrix. The study’s main aim was to investigate the optimal amount of PEG6000 that can be added to the fixed sol–gel reaction mixture so that no leakage of PEG occurs after repeated heating–cooling cycles. The findings show that the optimum PEG6000/NCOTEOS molar ratio was 2/1 (~91.5% PEG6000), because both the connected and free PEG chains interacted strongly with the in-situ-generated silica matrix to form a shape-stabilized material while preserving high phase-transition enthalpies (~153 J/G). Morphological and structural findings obtained by SEM, X-ray and Raman techniques indicated a distribution of the silica component in the amorphous phase (~27% for the optimum composition) located among the crystalline lamellae built by the folded chains of the PEG component. This composite maintained good chemical stability after a 450-cycle thermal test and had a good storage efficiency (~84%).