This paper presents the preparation and thermal/physical characterization of phase change materials (PCMs) based on poly(ethylene glycol) 400 g·mol−1 and nano-enhanced by either carbon black (CB), a raw graphite/diamond nanomixture (G/D-r), a purified graphite/diamond nanomixture (G/D-p) or nano-Diamond nanopowders with purity grades of 87% or 97% (nD87 and nD97, respectively). Differential scanning calorimetry and oscillatory rheology experiments were used to provide an insight into the thermal and mechanical changes taking place during solid-liquid phase transitions of the carbon-based suspensions. PEG400-based samples loaded with 1.0 wt.% of raw graphite/diamond nanomixture (G/D-r) exhibited the lowest sub-cooling effect (with a reduction of ~2 K regarding neat PEG400). The influences that the type of carbon-based nanoadditive and nanoparticle loading (0.50 and 1.0 wt.%) have on dynamic viscosity, thermal conductivity, density and surface tension were also investigated in the temperature range from 288 to 318 K. Non-linear rheological experiments showed that all dispersions exhibited a non-Newtonian pseudo-plastic behavior, which was more noticeable in the case of carbon black nanofluids at low shear rates. The highest enhancements in thermal conductivity were observed for graphite/diamond nanomixtures (3.3–3.6%), while nano-diamond suspensions showed the largest modifications in density (0.64–0.66%). Reductions in surface tension were measured for the two nano-diamond nanopowders (nD87 and nD97), while slight increases (within experimental uncertainties) were observed for dispersions prepared using the other three carbon-based nanopowders. Finally, a good agreement was observed between the experimental surface tension measurements performed using a Du Noüy ring tensiometer and a drop-shape analyzer.