Different contents of expanded graphite (EG) composite phase change material (PCM) were prepared by the melt mixing method, taking paraffin as the PCM and EG as the supporting material. Phase compositions of EG, paraffin, and EG/paraffin composite were investigated using X-ray diffraction (XRD). Microstructures of EG and EG/paraffin composite PCMs with different EG contents were observed by a scanning electron microscope (SEM). Thermal properties, such as phase-transition temperature and latent heat of the materials, were determined by differential scanning calorimetry (DSC). Mass loss and thermal properties after 100 heating cycles were measured. The results show that physical absorption exists between paraffin and EG. EG is beneficial for the PCM composite to reduce leakage of paraffin, decrease the phase change temperature and latent heat, and strengthen the thermal stability. The solid-liquid phase change latent heat of materials is larger than that of the solid-solid one. The heating cycle has little effect on the phase-transition temperature and latent heat.